Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189311 
Year of Publication: 
2004
Series/Report no.: 
Queen's Economics Department Working Paper No. 1027
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
Conventional procedures for Monte Carlo and bootstrap tests require that B, the number of simulations, satisfy a specific relationship with the level of the test. Otherwise, a test that would instead be exact will either overreject or underreject for finite B. We present expressions for the rejection frequencies associated with existing procedures and propose a new procedure that yields exact Monte Carlo tests for any positive value of B. This procedure, which can also be used for bootstrap tests, is likely to be most useful when simulation is expensive.
Subjects: 
resampling
Monte Carlo test
bootstrap test
percentiles
simulation
JEL: 
C12
C15
Document Type: 
Working Paper

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