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Bootstrap Testing In Nonlinear Models

by Russell Davidson, James G. Mackinnon , 1997
"... Bootstrap testing of nonlinear models normally requires at least one nonlinear estimation for every bootstrap sample. We show how to reduce computational costs by performing only a fixed, small number of Newton or quasi-Newton steps for each bootstrap sample. The number of steps is smaller for likel ..."
Abstract - Cited by 49 (19 self) - Add to MetaCart
Bootstrap testing of nonlinear models normally requires at least one nonlinear estimation for every bootstrap sample. We show how to reduce computational costs by performing only a fixed, small number of Newton or quasi-Newton steps for each bootstrap sample. The number of steps is smaller

Size Distortion of Bootstrap Tests

by Russell Davidson, James G. Mackinnon, Russell Davidson, James G. Mackinnon, Centre De La Vieille Charité
"... Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We provide a theoretical framework in which to study the size distortions of bootstrap P values. We show that, in many circumstances, the size disto ..."
Abstract - Cited by 17 (5 self) - Add to MetaCart
Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We provide a theoretical framework in which to study the size distortions of bootstrap P values. We show that, in many circumstances, the size

The Size and Power of Bootstrap Tests

by Russell Davidson, James G. Mackinnon
"... Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We show that, in many circumstances, the size distortion of a bootstrap P value for a test will be one whole order of magnitude smaller than that of ..."
Abstract - Cited by 2 (1 self) - Add to MetaCart
Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We show that, in many circumstances, the size distortion of a bootstrap P value for a test will be one whole order of magnitude smaller than

Improving the Reliability of Bootstrap Tests

by Russell Davidson Greqam, Russell Davidson, Centre De La Vieille Charite, Kl N, James G. Mackinnon
"... We rst propose procedures for estimating the rejection probabilities for bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive as estimating rejection probabilities for asymptotic tests. We then ..."
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We rst propose procedures for estimating the rejection probabilities for bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive as estimating rejection probabilities for asymptotic tests. We

Bootstrap tests: How many bootstraps?

by Russell Davidson , James G Mackinnon - Econometric Reviews , 2000
"... 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 lo ..."
Abstract - Cited by 47 (13 self) - Add to MetaCart
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

Improving the reliability of bootstrap tests

by Russell Davidson , Russell Davidson@mcgill , James G Ca , Mackinnon , 2000
"... Abstract We first propose a procedure for estimating the rejection probabilities for bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. This procedure is only about twice as expensive (per replication) as estimating rejection probabilities f ..."
Abstract - Cited by 10 (6 self) - Add to MetaCart
Abstract We first propose a procedure for estimating the rejection probabilities for bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. This procedure is only about twice as expensive (per replication) as estimating rejection probabilities

Bootstrap Testing for Fractional Integration ¤

by Michael K. Andersson Y, Mikael P. Gredenho Y, Monte Carlo Simulation Size-correction, Valuable Discussions, Comments Tor Jacobson, Sune Karlsson, Rolf Tschernig , 1997
"... Asymptotic tests for fractional integration, such as the Geweke-Porter-Hudak test, the modi…ed rescaled range test and Lagrange multiplier type tests, exhibit size-distortions in small-samples. This paper investigates a parametric bootstrap testing procedure, for size-correction, by means of a compu ..."
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Asymptotic tests for fractional integration, such as the Geweke-Porter-Hudak test, the modi…ed rescaled range test and Lagrange multiplier type tests, exhibit size-distortions in small-samples. This paper investigates a parametric bootstrap testing procedure, for size-correction, by means of a

Bootstrap Testing in Nonlinear Models

by Russell Davidson Greqam, Russell Davidson, Centre De La Vieille Charit'e, Kl N, James G. Mackinnon
"... Bootstrap testing of nonlinear models normally requires at least one nonlinear estimation for every bootstrap sample. We show how to reduce computational costs by performing only a fixed, small number of Newton or quasi-Newton steps for each bootstrap sample. The number of steps is smaller for likel ..."
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Bootstrap testing of nonlinear models normally requires at least one nonlinear estimation for every bootstrap sample. We show how to reduce computational costs by performing only a fixed, small number of Newton or quasi-Newton steps for each bootstrap sample. The number of steps is smaller

SIZE CORRECTED POWER FOR BOOTSTRAP TESTS

by Centro De, Investigación Económica, Manuel A. Domínguez, Ignacio N. Lobato, Autónomo México, Col Héroes De Padierna, Manuel A. Domínguez, Ignacio N. Lobato, Autónomo México, Ignacio N. Lobato , 2000
"... This note provides an alternative perspective for size-corrected power for a test. The advantage of this approach is that it allows the calculation of size-corrected power for bootstrap tests. ..."
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This note provides an alternative perspective for size-corrected power for a test. The advantage of this approach is that it allows the calculation of size-corrected power for bootstrap tests.

Fast Double Bootstrap Tests

by Of Nonnested Linear, Russell Davidson, James G. Mackinnon, Kl N
"... It has been shown in previous work that bootstrapping the J test for nonnested linear regression models dramatically improves its nite-sample performance. We provide evidence that a more sophisticated bootstrap procedure, which we call the fast double bootstrap, produces a very substantial further ..."
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It has been shown in previous work that bootstrapping the J test for nonnested linear regression models dramatically improves its nite-sample performance. We provide evidence that a more sophisticated bootstrap procedure, which we call the fast double bootstrap, produces a very substantial further
Results 1 - 10 of 2,188