Improving the reliability of bootstrap tests with the fast double bootstrap

Russell Davidson (1) , James Mackinnon (2)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
2 Department of Economics

Two procedures are proposed for estimating the rejection probabilities of bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive (per replication) as estimating rejection probabilities for asymptotic tests. Then a new procedure is proposed for computing bootstrap P values that will often be more accurate than ordinary ones. This “fast double bootstrap” is closely related to the double bootstrap, but it is far less computationally demanding. Simulation results for three different cases suggest that the fast double bootstrap can be very useful in practice.

Mots clés: Bootstrap

Domaines: Economies et finances

Russell Davidson, James Mackinnon. Improving the reliability of bootstrap tests with the fast double bootstrap. 2006. ⟨halshs-00439247⟩