The fast iterated bootstrap

Russell Davidson and Mirza Trokić
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Mirza Trokić: IHS Markit

Abstract: The standard forms of bootstrap iteration are very computationally demanding. As a result, there have been several attempts to alleviate the computational burden by use of approximations. In this paper, we extend the fast double bootstrap of Davidson and MacKinnon (2007) to higher orders of iteration, and provide algorithms for their implementation. The new methods make computational demands that increase only linearly with the level of iteration, unlike standard procedures, whose demands increase exponentially. In a series of simulation experiments, we show that the fast triple bootstrap improves on both the standard and fast double bootstraps, in the sense that it suffers from less size distortion under the null with no accompanying loss of power.

Keywords: Bootstrap iteration Fast iterated bootstrap; bootstrap iteration; fast iterated bootstrap (search for similar items in EconPapers)
Date: 2020-10
Note: View the original document on HAL open archive server: https://amu.hal.science/hal-02965001
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Published in Journal of Econometrics, 2020, 218 (2), pp.451-475. ⟨10.1016/j.jeconom.2020.04.025⟩

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Journal Article: The fast iterated bootstrap (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02965001

DOI: 10.1016/j.jeconom.2020.04.025

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