Search Results - subject:"bootstrap discrepancy"

Davidson, Russell - HAL - 2009

Many simulation experiments have shown that, in a variety of circumstances, bootstrap tests perform better than current asymptotic theory predicts. Specifically, the discrepancy between the actual rejection probability of a bootstrap test under the null and the nominal level of the test appears...

Persistent link: https://www.econbiz.de/10008793443

The Power of Bootstrap and Asymptotic Tests

Davidson, Russell; MacKinnon, James G. - 2004

We introduce the concept of the bootstrap discrepancy, which measures the difference in rejection probabilities between … of the statistic. We show that the bootstrap discrepancy is of the same order of magnitude under the null hypothesis and … distribution under the null hypothesis. We propose as the proper choice the DGP which minimizes the bootstrap discrepancy. We also …

Persistent link: https://www.econbiz.de/10011940657

The Power of Bootstrap and Asymptotic Tests

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2004

Persistent link: https://www.econbiz.de/10005688539