Hostname: page-component-77c89778f8-cnmwb Total loading time: 0 Render date: 2024-07-21T09:26:37.015Z Has data issue: false hasContentIssue false
  • English
  • Français

ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS

Published online by Cambridge University Press:  17 May 2002

Donald W.K. Andrews  and
Moshe Buchinsky
Donald W.K. Andrews
Affiliation:
Yale University
Moshe Buchinsky
Affiliation:
Brown University
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper considers the problem of choosing the number of bootstrap repetitions B to use with the BCa bootstrap confidence intervals introduced by Efron (1987, Journal of the American Statistical Association 82, 171–200). Because the simulated random variables are ancillary, we seek a choice of B that yields a confidence interval that is close to the ideal bootstrap confidence interval for which B = ∞. We specify a three-step method of choosing B that ensures that the lower and upper lengths of the confidence interval deviate from those of the ideal bootstrap confidence interval by at most a small percentage with high probability.

Type
Research Article
Information
Econometric Theory , Volume 18 , Issue 4 , August 2002 , pp. 962 - 984
Copyright
© 2002 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)