Document Type

Discussion Paper

Publication Date

2-1-2000

CFDP Number

1250

CFDP Pages

22

Abstract

This paper considers the problem of choosing the number bootstrap repetitions B to use with the BC a bootstrap confidence intervals introduced by Efron (1987). Because the simulated random variables are ancillary, we seek a choice of B that yields a confidence interval that is close to the ideal bootstrap confidence interval for which B = ∞. We specifiy a three-step method of choosing B that ensures that the lower and upper lengths of the confidence interval deviate from those of the ideal bootstrap confidence interval by at most a small percentage with high probability.

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