Arbeitspapier
Inference via kernel smoothing of bootstrap P values
Resampling methods such as the bootstrap are routinely used to estimate the finite-sample null distributions of a range of test statistics. We present a simple and tractable way to perform classical hypothesis tests based upon a kernel estimate of the CDF of the bootstrap statistics. This approach has a number of appealing features: i) it can perform well when the number of bootstraps is extremely small, ii) it is approximately exact, and iii) it can yield substantial power gains relative to the conventional approach. The proposed approach is likely to be useful when the statistic being bootstrapped is computationally expensive.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 1054
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Statistical Simulation Methods: General
- Thema
-
resampling
Monte Carlo test
bootstrap test
percentiles
kernel
smoothing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Racine, Jeff
MacKinnon, James G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Racine, Jeff
- MacKinnon, James G.
- Queen's University, Department of Economics
Entstanden
- 2006
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