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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
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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

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