The fast iterated bootstrap

A-Tier
Journal: Journal of Econometrics
Year: 2020
Volume: 218
Issue: 2
Pages: 451-475

Authors (2)

Davidson, Russell (McGill University) Trokić, Mirza (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

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

Abstract

The standard forms of bootstrap iteration are very computationally demanding. As a result, there have been several attempts to alleviate the computational burden by use of approximations. In this paper, we extend the fast double bootstrap of Davidson and MacKinnon (2007) to higher orders of iteration, and provide algorithms for their implementation. The new methods make computational demands that increase only linearly with the level of iteration, unlike standard procedures, whose demands increase exponentially. In a series of simulation experiments, we show that the fast triple bootstrap improves on both the standard and fast double bootstraps, in the sense that it suffers from less size distortion under the null with no accompanying loss of power.

Technical Details

RePEc Handle
repec:eee:econom:v:218:y:2020:i:2:p:451-475
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25