Evaluation of a three-step method for choosing the number of bootstrap repetitions

DOI10.1016/S0304-4076(01)00047-1zbMath1025.62019MaRDI QIDQ5939177

Donald W. K. Andrews, Moshe Buchinsky

Publication date: 25 November 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

tablessimulationconfidence intervaldensity estimationquantile\(p\)-valuebootstrap repetitionscoefficient of excess kurtosisstandard error estimate

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)

Related Items

Finite Sample Properties of the QME ⋮ Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics ⋮ Bootstrapping the HEGY seasonal unit root tests ⋮ On the expected runtime of multiple testing algorithms with bounded error ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ Matching and semi-parametric IV estimation, a distance-based measure of migration, and the wages of young men ⋮ Evaluation of a three-step method for choosing the number of bootstrap repetitions ⋮ BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY ⋮ Linear bootstrap methods for vector autoregressive moving-average models ⋮ BootstrapMUnit Root Tests ⋮ TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY

Uses Software

• bootlib

Cites Work

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