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Bootstrapping p Values and Power in the First-Order Autoregression: A Monte Carlo Investigation

Robert K. Rayner
Journal of Business & Economic Statistics
Vol. 8, No. 2 (Apr., 1990), pp. 251-263
DOI: 10.2307/1391988
Stable URL: http://www.jstor.org/stable/1391988
Page Count: 13
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Bootstrapping p Values and Power in the First-Order Autoregression: A Monte Carlo Investigation
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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.

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