Question: You want to test H0 : 0 against H1 : 0. The test for H0 is to reject if Tn

You want to test H0 : µ Æ 0 against H1 : µ È 0. The test for H0 is to reject if Tn Æ bµ/s(bµ) È c where c is picked so that Type I error is ®. You do this as follows. Using the nonparametric bootstrap, you generate bootstrap samples, calculate the estimates bµ¤ on these samples and then calculate T ¤ Æ

bµ¤/s(bµ¤). Let q¤

1¡® denote the 1 ¡ ®th quantile of T ¤. You replace c with q¤

1¡®, and thus reject H0 if Tn Æ bµ/s(bµ) È q¤

1¡®. What is wrong with this procedure?

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