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THE SIZE DISTORTION OF BOOTSTRAP TESTS

Published online by Cambridge University Press:  01 June 1999

Russell Davidson  and
James G. MacKinnon
Russell Davidson
Affiliation:
GREQAM and Queen's University
James G. MacKinnon
Affiliation:
Queen's University
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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.

Type
Research Article
Information
Econometric Theory , Volume 15 , Issue 3 , June 1999 , pp. 361 - 376
Copyright
© 1999 Cambridge University Press

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