Bootstrapping error component models

被引：9

作者：

Andersson, MK

Karlsson, S

机构：

[1] Natl Inst Econ Res, SE-10363 Stockholm, Sweden

[2] Stockholm Sch Econ, Dept Econ Stat, SE-11383 Stockholm, Sweden

来源：

COMPUTATIONAL STATISTICS | 2001年 / 16卷 / 02期

关键词：

panel data; bootstrap; bootstrap test; resampling;

D O I：

10.1007/s001800100061

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：221 / 231

页数：11

共 8 条

[1]

Baltagi B.H., 2008, Econometric Analysis of Panel Data, V3rd ed.

[2]

Bellman L, 1989, EMPIR ECON, V14, P329

[3]

Davidson R, 1999, ECONOMET THEOR, V15, P361

[4]

DAVIDSON R, 2000, IN PRESS EC REV