Bootstrapping Error Component Models

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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Year of publication:	1999-02-12
Authors:	Andersson, Michael K. ; Karlsson, Sune
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	Panel data \| Bootstrap \| Bootstrap test \| Resampling

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Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in Computational Statistics, 2001, pages 221-231. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 304 12 pages
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005649435