自助法检验的规模扭曲

THE SIZE DISTORTION OF BOOTSTRAP TESTS

Econometric Theory · 1999
被引 208 · 同刊同年前 10%
人大 A-ABS 4

中文导读

为研究自助法P值的准确性提供了理论框架,证明在许多情况下自助法检验的拒绝概率误差比渐近检验小一个数量级,并提出了仅需每次复制计算两个检验统计量的模拟估计方法。

Abstract

We provide a theoretical framework in which to study the accuracy of bootstrap P values, which may be based on a parametric or nonparametric bootstrap. In the parametric case, the accuracy of a bootstrap test will depend on the shape of what we call the critical value function. We show that, in many circumstances, the error in rejection probability of a bootstrap test will be one whole order of magnitude smaller than that of the corresponding asymptotic test. We also propose a simulation method for estimating this error that requires the calculation of only two test statistics per replication.

Bootstrap检验检验水平扭曲临界值函数拒绝概率误差