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- handle: 10670/1.75buad
- hal: hal-02965001
- doi: 10.1016/j.jeconom.2020.04.025
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jeconom.2020.04.025
http://creativecommons.org/licenses/by-nc-nd/ , info:eu-repo/semantics/OpenAccess
Mots-clés
Bootstrap iteration Fast iterated bootstrap bootstrap iteration fast iterated bootstrap C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C10 - General C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C12 - Hypothesis Testing: General C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C15 - Statistical Simulation Methods: General C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C63 - Computational Techniques • Simulation ModelingSujets proches
Statistical data Statistical analysis Statistical methods Statistical science Philosophy--MethodologyCiter ce document
Russell Davidson et al., « The fast iterated bootstrap », HAL-SHS : économie et finance, ID : 10.1016/j.jeconom.2020.04.025
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Résumé
The standard forms of bootstrap iteration are very computationally demanding. As a result, there have been several attempts to alleviate the computational burden by use of approximations. In this paper, we extend the fast double bootstrap of Davidson and MacKinnon (2007) to higher orders of iteration, and provide algorithms for their implementation. The new methods make computational demands that increase only linearly with the level of iteration, unlike standard procedures, whose demands increase exponentially. In a series of simulation experiments, we show that the fast triple bootstrap improves on both the standard and fast double bootstraps, in the sense that it suffers from less size distortion under the null with no accompanying loss of power.