Bootstrapping<i>p</i>Values and Power in the First-Order Autoregression: A Monte Carlo Investigation
Journal of Business and Economic StatisticsPublished 1 April 1990
Robert K. Rayner
Citations30
SJR quartileQ1
SJR score4.17
SNIP2.29
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Abstract
The small-sample behavior of the bootstrap is investigated as a method for estimating p values and power in the stationary first-order autoregressive model. Monte Carlo methods are used to examine the bootstrap and Student-t approximations to the true distribution of the test statistic frequently used for testing hypotheses on the underlying slope parameter. In contrast to Student's t, the results suggest that the bootstrap can accurately estimate p values and power in this model in sample sizes as small as 5–10.
Keywords
MathematicsEconomics, Econometrics and Finance
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