Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67820
Authors: 
Davidson, Russell
MacKinnon, James
Year of Publication: 
2001
Series/Report no.: 
Queen's Economics Department Working Paper 1036
Abstract: 
In practice, bootstrap tests must use a finite number of bootstrap samples. This means that the outcome of the test will depend on the sequence of random numbers used to generate the bootstrap samples, and it necessarily results in some loss of power. We examine the extent of this power loss and propose a simple pretest procedure for choosing the number of bootstrap samples so as to minimize experimental randomness. Simulation experiments suggest that this procedure will work very well in practice.
Subjects: 
bootstrap test
test power
pretest
bootstrap repetitions
bootstrap samples
JEL: 
C12
C15
Document Type: 
Working Paper

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