THE SIZE DISTORTION OF BOOTSTRAP TESTS

B-Tier
Journal: Econometric Theory
Year: 1999
Volume: 15
Issue: 3
Pages: 361-376

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We provide a theoretical framework in which to study the accuracy of bootstrap P values, which may be based on a parametric or nonparametric bootstrap. In the parametric case, the accuracy of a bootstrap test will depend on the shape of what we call the critical value function. We show that, in many circumstances, the error in rejection probability of a bootstrap test will be one whole order of magnitude smaller than that of the corresponding asymptotic test. We also propose a simulation method for estimating this error that requires the calculation of only two test statistics per replication.

Technical Details

RePEc Handle
repec:cup:etheor:v:15:y:1999:i:03:p:361-376_15
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25