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Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations

The usual standard errors for the regression coefficients in a seemingly unrelated regression model have a substantial downward bias. Bootstrapping the standard errors does not seem to improve inferences. In this paper, Monte Carlo evidence is reported which indicates that bootstrapping can result in substantially better inferences when applied to <italic>t</italic>-ratios rather than to standard errors.
Year of publication:
1996
Authors: Rilstone, Paul ; Veall, Michael
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 12.1996, 03, p. 569-580
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
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Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005610581
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