Bootstrap confidence interval for a correlation curve
AbstractA correlation curve measures the strength of the association between two variables locally at different values of x. The purpose of this study is to obtain point-wise confidence intervals for a correlation curve using wild bootstrap techniques. Empirical coverage probabilities are found to be close to the specified nominal level. Bootstrapping is an attractive alternative to confidence intervals based on asymptotic expressions that have slow rate of convergence.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 82 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- William Nilsson, 2013. "Intergenerational Correlation Curves: Evidence from PSID," DEA Working Papers 58, Universitat de les Illes Balears, Departament d'Economía Aplicada.
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