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Bootstrap Variance Estimation Of Nonlinear Functions Of Parameters: An Application To Long-Run Elasticities Of Energy Demand

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  • Hongyi Li
  • G. S. Maddala

Abstract

In many practical applications, one is interested in obtaining confidence intervals for nonlinear functions of the parameters. This paper considers the following different methods: Fieller's method, Taylor's series expansion, and bootstrap methods. Compared to some of the earlier results in the empirical studies that are against the application of bootstrap, our results suggest a different conclusion in favor of the bootstrap methods. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology

Suggested Citation

  • Hongyi Li & G. S. Maddala, 1999. "Bootstrap Variance Estimation Of Nonlinear Functions Of Parameters: An Application To Long-Run Elasticities Of Energy Demand," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 728-733, November.
    • Handle: RePEc:tpr:restat:v:81:y:1999:i:4:p:728-733
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