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Let's say we want to calculate the two-sided $p$-value for a linear regression coefficient using bootstrapping. The null hypothesis is $\beta_1 = 0$. For the non-parametric (case-resampling) bootstrap, we would do the following steps:

  1. Calculate the original statistic $T_0$, e.g. the $t$-statistic of the coefficient of interest in the original sample.
  2. Sample the observations with replacement to create a bootstrap sample of the same size as the original sample.
  3. Calculate the regression on this bootstrap sample and store the bootstrap statistic $T^*$, i.e. the coefficient of interest.
  4. Repeat steps 2 and 3 a large number of times, say $R$ (e.g. $R = 1000$). This gives us $R$ bootstrapped statistics $T_r^*$.
  5. Shift the distribution of $T_r^*$ to generate the null distribution.
  6. Calculate the two-sided $p$-value by calculating: $p_{\text{boot}} = \dfrac{\text{#}\{|T_r^*| \geq |T_0|\} + 1}{R + 1}$.

My question concerns step 5: Should we shift the bootstrapped statistics by $T_r^*-\bar{T}_r^*$ so that its distribution is centered around $0$ or by $T_r^*-T_0$ so that it's centered around at the bias $\hat{B}^*=\bar{T}_r^* - T_0$?

The first version respects the bootstrap analogy that the sample is our population regarding the bootstrap samples. The second version makes sense because it corresponds exactly to the null value specified in the null hypothesis.

Here is a small R script that illustrates the procedures. The $p$-values calculated by the two versions are virtually identical here (the bias is only $0.12$) but I suspect that this is not always the case, especially when the bias is large.

# Load data
data(swiss)

# Calculate original model
mod <- lm(Infant.Mortality~., data = swiss)

# Store sample size
N <- nobs(mod)

# Store original t-statistic for "Fertility"
stat_orig <- summary(mod)$coefficients["Fertility", "t value"]

# Start the bootstrap
R <- 10000 # Number of bootstrap samples

# Start resampling
set.seed(142857) # Reproducibility
stat_boot <- replicate(R, {
  boot_ind <- sample.int(N, replace = TRUE) # Sample indices with replacement
  tmp_mod <- lm(Infant.Mortality~., data = swiss[boot_ind, ])
  summary(tmp_mod)$coefficients["Fertility", "t value"]
})

# Create null distribution by shifting bootstrap distribution
stat_boot_1 <- stat_boot - mean(stat_boot) # Mean centered
stat_boot_2 <- stat_boot - stat_orig # Centered on the bias

# Calculate p-values
(pval_boot_1 <- (sum(abs(stat_boot_1) >= abs(stat_orig)) + 1)/(R + 1))
[1] 0.03019698
(pval_boot_1 <- (sum(abs(stat_boot_2) >= abs(stat_orig)) + 1)/(R + 1))
[1] 0.03149685
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  • $\begingroup$ Is the centering (with or without removing the bias) sufficient to argue that we've generated a bootstrap sample under the null hypothesis? $\endgroup$
    – dipetkov
    Jan 31, 2023 at 20:46
  • $\begingroup$ @dipetkov I've seen multiple ways to calculate p-values for regression coefficients. Hinkley & Davison use the null model to generate data by resampling the residuals. I saw the shown method here a few times on this site and also in an R package. It doesn't generate the sample under the null directly. If you have reservations against the method or have some pointer to the literature, I'd be glad to hear it. $\endgroup$ Feb 1, 2023 at 11:55
  • $\begingroup$ @dipetkov The approach I use here is used Efron & Tibshirani in section 16.4, albeit not for regression. Implicitly, we assume that the distribution under the alternative is just a translated version of the null distribution. $\endgroup$ Feb 1, 2023 at 12:30
  • $\begingroup$ "An Introduction to the Bootstrap" has a chapter on bootstrapping regression but the examples are about bootstrapping the estimates and their standard errors. I also looked at "Applied Regression Analysis and Generalized Linear Models" by J. Fox. That book has a section on bootstrapping tests but is explicit that the p-values are not under the null hypothesis. $\endgroup$
    – dipetkov
    Feb 1, 2023 at 12:58
  • $\begingroup$ J. Fox writes: "We have to be careful to draw a proper analogy here: Because the original-sample estimates play the role of the regression parameters in the bootstrap “population” (i.e., the original sample), the bootstrap analog of the null hypothesis—to be used with each bootstrap sample—is $H_0:\beta_1=\hat{\beta}_1,\ldots,\beta_k=\hat{\beta}_k$". This is in reference to the case bootstrap, ie sampling observations, not residuals. $\endgroup$
    – dipetkov
    Feb 1, 2023 at 12:58

1 Answer 1

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If I understand Hall and Wilson correctly,* then the problem is in your Step 3. You should not be calculating t-statistics with respect to a null hypothesis of $\beta_1=0$ in your bootstrap samples. Instead, for the bootstrap samples you should be calculating t-statistics with respect to a null hypothesis $\beta_1= \hat \beta_1$, where $\hat \beta_1$ is your coefficient estimate from the original model.

They summarize their general recommendations for bootstrap-based tests, with $\hat \theta$ and $\hat\sigma$ being the original sample estimates of location and scale and asterisks representing corresponding estimates from bootstrap samples, in their Second Guideline:

Base the test on the bootstrap distribution of $(\hat \theta^* -\hat \theta)/\hat \sigma^*$ , not on the bootstrap distribution of $(\hat \theta^* -\hat \theta)/\hat \sigma$ or of $(\hat \theta^* -\hat \theta)$.

That's called "bootstrap pivoting" and is what you quote from Hinkley and Davison in a comment. Hall and Wilson explain in their First Guideline that evaluating bootstrap differences from the original sample estimate $(\hat\theta^*-\hat \theta)$ instead of from the original null hypothesis, $(\hat\theta^*-\theta_0)$, increases the power of the test, potentially by a lot if the original null hypothesis is far from correct.

In your example, you should do the shift $(\hat\beta_1^*-\hat\beta_1)$ before you divide by $\hat\sigma^*$ to get each of your bootstrapped t-statistics. That nicely brings the center of the distribution to 0 in the best way while respecting the bootstrap principle.


*reference suggested by the late Michael Chernick in this answer

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  • $\begingroup$ Thanks for the answer and for this awesome reference I didn't know. To be sure, $\hat{\sigma}^*$ would be the standard error of the coefficient in the bootstrap samples, right? Finally, you would compare the bootstrapped pivots with the original $t$ statistic in this example, correct? $\endgroup$ Feb 5, 2023 at 21:51
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    $\begingroup$ @COOLSerdash yes. $\hat\sigma^*$ represents the set of coefficient standard error estimates among the bootstrapped samples just as $\hat\beta_1^*$ represents the corresponding coefficient estimates. I hadn't read Hall and Wilson previously either; I came across it as Michael Chernick's recommendation with respect to a related question. $\endgroup$
    – EdM
    Feb 5, 2023 at 21:57
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    $\begingroup$ @COOLSerdash yes, you use the distribution of $(\hat \theta^* -\hat \theta)/\hat \sigma^*$ as a reference for comparing against the original value of the t statistic. See Equation 2.1 and the text that follows for a p < 0.05 cutoff estimate that can be extended to further values. I'm not sure how precise these estimates of p-values will be, as with low p values you will be far out in notoriously unreliable tails of bootstrap distributions. $\endgroup$
    – EdM
    Feb 5, 2023 at 22:12
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    $\begingroup$ @dipetkov the claim of the first guideline as "misleading" in the paper you linked is a quote attributed by the author Becher to Tibshirani, not by Hall & Wilson. In their response to the Becher paper, Hall & Wilson stand firmly behind their guidelines. Becher's analysis seems to suffer from the switching the tails of distributions, the problem introduced by percentile bootstraps when there is bias and skew. See this page for an (admittedly, not succinct) discussion that illustrates that tail switching. $\endgroup$
    – EdM
    Feb 6, 2023 at 14:51
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    $\begingroup$ Oh, I see. The second paper is a reaction/commentary to the other paper. And then there is a rejoinder too. I apologize for the confusion; I've been trying to understand this topic for some days, not sure I'm getting there. And thank you for pointing me to the other thread; to me it's more interesting because it's about bootstrap CIs. (And thorough is better than succinct.) $\endgroup$
    – dipetkov
    Feb 6, 2023 at 15:14

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