A discrete model for bootstrap iteration - Aix-Marseille Université Access content directly
Journal Articles Journal of Econometrics Year : 2017

A discrete model for bootstrap iteration


The bootstrap can be validated by considering the sequence of P values obtained by bootstrap iteration, rather than asymptotically. If this sequence converges to a random variable with the uniform U(0,1) distribution, the bootstrap is valid. Here, the model is made discrete and finite, characterised by a three-dimensional array of probabilities. This renders bootstrap iteration to any desired order feasible. A unit-root test for a process driven by a stationary MA(1) process is known to be unreliable when the MA(1) parameter is near −1. Iteration of the bootstrap P value to convergence achieves reliable inference unless the parameter value is very close to −1.

Dates and versions

hal-01658497 , version 1 (07-12-2017)



Russell Davidson. A discrete model for bootstrap iteration. Journal of Econometrics, 2017, 201 (2), pp.228 - 236. ⟨10.1016/j.jeconom.2017.08.005⟩. ⟨hal-01658497⟩
69 View
0 Download



Gmail Facebook Twitter LinkedIn More