Improving the reliability of bootstrap tests with the fast double bootstrap

Authors:
Russell Davidson;James G. MacKinnon
Affiliations:
GREQAM, Centre de la Vieille Charité, 2 rue de la Charité, 13236 Marseille cedex 02, France and Department of Economics, McGill University, Montreal, Que., Canada H3A 2T7;Department of Economics, Queen's University, Kingston, Ont., Canada K7L 3N6
Venue:
Computational Statistics & Data Analysis
Year:
2007

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Abstract

Two procedures are proposed for estimating the rejection probabilities (RPs) 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 RPs 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'' (FDB) is closely related to the double bootstrap, but it is far less computationally demanding. Simulation results for three different cases suggest that the FDB can be very useful in practice.