Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189307 
Year of Publication: 
2006
Series/Report no.: 
Queen's Economics Department Working Paper No. 1023
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
The fast double bootstrap, or FDB, is a procedure for calculating bootstrap P values that is much more computationally efficient than the double bootstrap itself. In many cases, it can provide more accurate results than ordinary bootstrap tests. For the fast double bootstrap to be valid, the test statistic must be asymptotically independent of the random parts of the bootstrap data generating process. This paper presents simulation evidence on the performance of FDB tests in three cases of interest to econometricians. One of the cases involves both symmetric and equal-tail bootstrap tests, which, interestingly, can have quite different power properties. Another highlights the importance of imposing the null hypothesis on the bootstrap DGP.
Subjects: 
bootstrap test
serial correlation
ARCH errors
weak instruments
double bootstrap
fast double bootstrap
FDB
JEL: 
C12
C15
Document Type: 
Working Paper

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