.png){kind=icon}
.png){kind=icon}
Return
The fast iterated bootstrap
.png){kind=icon}
OA
AI
DOI：10.1016/j.jeconom.2020.04.025.png)
.png){kind=icon}
.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
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. (C) 2020 Elsevier B.V. All rights reserved.
Keywords:
Bootstrap iteration
Fast iterated bootstrap
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
4
Papers:
5.2K
Citations:
3.0W