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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
Stable URL: http://www.jstor.org/stable/1391988
Page Count: 13
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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.
Journal of Business & Economic Statistics © 1990 American Statistical Association