Bootstrapping Error Component Models
AbstractThis 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 InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 304.
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.
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More information through EDIRC
Panel data; Bootstrap; Bootstrap test; Resampling;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-03-08 (All new papers)
- NEP-ECM-1999-03-08 (Econometrics)
- NEP-ETS-1999-03-08 (Econometric Time Series)
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