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Bootstrap tests: how many bootstraps?

Authors: Russell Davidson a; James G. MacKinnon b
Affiliations:   a Greqam Centre de la Vieille Charitegrave 2 rue de la Charitegrave, France
b Department of Economics, Queen's University, Kingston, Ontario, Canada
DOI: 10.1080/07474930008800459
Publication Frequency: 6 issues per year
Published in: journal Econometric Reviews, Volume 19, Issue 1 2000 , pages 55 - 68
Formats available: PDF (English)
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Abstract

In practice, bootstrap tests must use a finite number of bootstrap samples. This means that the outcome of the test will depend on the sequence of random numbers used to generate the bootstrap samples, and it necessarily results in some loss of power. We examine the extent of this power loss and propose a simple pretest procedure for choosing the number of bootstrap samples so as to minimize experimental randomness. Simulation experiments suggest that this procedure will work very well in practice.
Keywords: bootstrap test; test power; pretest
view references (16) : view citations
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