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 distorsions of bootstrap P values. We show that, in many circumstances, the size distorsion of a bootstrap test will be one whole order of magnitude smaller than that of the corresponding asymptotic test.
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Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number
96a15.
Length: 26 pages Date of creation: 1996 Date of revision: Handle: RePEc:fth:aixmeq:96a15
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Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Other
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