P-value for a Bootstrapped distribution

Econometrics questions and discussions
msrahman
Posts: 53
Joined: Wed Oct 31, 2012 2:32 pm

P-value for a Bootstrapped distribution

Unread post by msrahman »

Hello,
I have a bootstrapped distribution based on 49,000 simulations. How can I calculate the P-value for a test statistic using this distribution?
Any help will be appreciated.
Sincerely,
Sajjadur.
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: P-value for a Bootstrapped distribution

Unread post by TomDoan »

In general, you don't. To bootstrap a test statistic, you need to bootstrap under the null and compare the distribution for the test statistic with the value you get from the original sample.
Post Reply