The Power of Bootstrap and Asymptotic Tests

@inproceedings{Davidson2003ThePO,
  title={The Power of Bootstrap and Asymptotic Tests},
  author={Russell Davidson and James G. MacKinnon},
  year={2003}
}
We introduce the concept of the bootstrap discrepancy, which measures the difference in rejection probabilities between a bootstrap test based on a given test statistic and that of a (usually infeasible) test based on the true distribution of the statistic. We show that the bootstrap discrepancy is of the same order of magnitude under the null hypothesis and under non-null processes described by a Pitman drift. However, complications arise in the measurement of power. If the test statistic is… CONTINUE READING
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