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Re: st: bootstrap test, combined bootstrap datasets, statistical properties of the bootstrap

From   Gianluca Cafiso <>
Subject   Re: st: bootstrap test, combined bootstrap datasets, statistical properties of the bootstrap
Date   Fri, 11 Jun 2010 13:47:57 +0200

Dear Stas,
sorry for this very late answer, but the e-mail server which I use for
statalist stopped working for a while.

My doubt regards which Critical Values I should use to test Ho:'df_L >0'.

1- df_Lb  = df_TFb * df_GCb;

2- the distribution of df_L is generated as the product of the bootstrap
distribution of df_TF times the bootstrap distribution of df_GC.

If I want to test this hypothesis for either df_TF or df_GC, the ?Bias
?Corrected and Accelerated Confidence Interval? (BCa-CI) is reliable when
the bootstrap distribution is not normal. Then, if the upper-limit of the
BCa-CI (95% quantile) were less than 0, I would reject Ho: df_TF>0 (or

I wonder whether I can use the BCa-CI even for df_L. I am not sure about
this since its distribution is not generated in a bootstrap process, but it
is the ex-post product of two different bootstrap distributions. I am
worried about the robustness of the BCa-CI with respect to this case.

Furthermore, I am not sure that I am able to use the BCa-CI   to test the
hypothesis. Indeed, I do not believe that the acceleration for df_L is given
by the product of the accelerations of df_TF and df_GC.


As for the points that you listed in your reply:
 1 &2 ? Strictly speaking, I am not dealing with time series. ?diff? is to
test the difference between the same population taken at two different
 3 ? Yes, I do not have a point null. But why should this be problematic? Is
the percentile method or the BCa-CI for hypothesis testing restricted to the
case of a point null? I didn?t find anything about this in the literature.
My null refers to zero and I check how the bootstrap distribution is
positioned with respect to zero. I do not understand why you mention an
asymptotic test. As far as I know, the all point of the bootstrap is to
exploit the bootstrap distribution without resort to asymptotic theory.

However, I am not a statistician. Let me know if I am missing something.
These considerations are drawn from  Cameron + Trivedi 2005
??Microeconometrics?, paragraph 11.2.6, 11.2.7.

Many thanks.


Dr. Gianluca Cafiso
Research Fellow, University of Catania - Economics Department.
Corso Italia 55, 95129 Catania, Italy.

tel.:  +39 095 7537 745

Universita' di Catania - A.P.Se.Ma.
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