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A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Author

Listed:
  • Raffaella Giacomini

    (Institute for Fiscal Studies and University College London)

  • Dimitris N. Politis

    (Institute for Fiscal Studies)

  • Halbert White

    (Institute for Fiscal Studies)

Abstract

We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing the properties of these methods under general conditions.

Suggested Citation

  • Raffaella Giacomini & Dimitris N. Politis & Halbert White, 2012. "A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators," CeMMAP working papers CWP11/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:11/12
    as

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    File URL: http://www.cemmap.ac.uk/wps/cwp111212.pdf
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    References listed on IDEAS

    as
    1. Kim, Jae H, 2001. "Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 117-128, January.
    2. repec:cte:wsrepe:ws035312 is not listed on IDEAS
    3. Davidson, Russell & MacKinnon, James G., 2007. "Improving the reliability of bootstrap tests with the fast double bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3259-3281, April.
    4. Dimitris Politis & Halbert White, 2004. "Automatic Block-Length Selection for the Dependent Bootstrap," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 53-70.
    5. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 419-429.
    6. Li, Fuchun & Tkacz, Greg, 2006. "A consistent bootstrap test for conditional density functions with time-series data," Journal of Econometrics, Elsevier, vol. 133(2), pages 863-886, August.
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    9. Dimitris N. Politis & Joseph P. Romano & Michael Wolf, 2004. "Inference for Autocorrelations in the Possible Presence of a Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 251-263, March.
    10. James G. MacKinnon & Russell Davidson, 2000. "Improving The Reliability Of Bootstrap Tests," Working Paper 995, Economics Department, Queen's University.
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