The Size Distorsion of Bootstrap Tests.

Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We provide a theoretical framework in which to study the size distorsions of bootstrap P values. We show that, in many circumstances, the size distorsion of a bootstrap test will be one whole order of magnitude smaller than that of the corresponding asymptotic test.

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Year of publication:	1996
Authors:	Davidson, R. ; Mackinnon, J.G.
Institutions:	Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
Subject:	TESTS \| ECONOMETRICS

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Series:	G.R.E.Q.A.M..
Type of publication:	Book / Working Paper
Notes:	26 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C19 - Econometric and Statistical Methods: General. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005669416