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Bootstrapping Error Component Models

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Author Info

  • Andersson, Michael K.

    (National Institute of Economic Research)

  • Karlsson, Sune

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

This paper proposes several resampling algorithms suitable for error component models and evaluates them in the context of bootstrap testing. In short, all the algorithms work well and lead to tests with correct or close to correct size. There is thus little or no reason not to use the bootstrap with error component models.

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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 304.

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Length: 12 pages
Date of creation: 12 Feb 1999
Date of revision: 30 Jun 2000
Publication status: Published in Computational Statistics, 2001, pages 221-231.
Handle: RePEc:hhs:hastef:0304

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Keywords: Panel data; Bootstrap; Bootstrap test; Resampling;

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