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

Paul Rilstone and Michael R. Veall ()

Econometric Theory, 1996, vol. 12, issue 03, pages 569-580

Abstract: 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 t-ratios rather than to standard errors.

Date: 1996
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