The Size and Power of Bootstrap Tests.

We show that, in many circumstances, the size distortion of a bootstrap P value for a test will be one whole order of magnitude smaller than that of the corresponding asymptotic P value. We also show that, at least in the parametric case, the magnitude of the distorsion will depend on the shape of what we call the P value function. As regards the power of bootstrap tests, we show that the size-corrected power of a bootstrap test differs from that of the corresponding asymptotic test only by an amount of the same order magnitude as the size distortion, and of arbitrary sign.