Bootstrapping Error Component Models

Michael K. Andersson and Sune Karlsson ()
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Michael K. Andersson: National Institute of Economic Research, Postal: P.O. Box 3116, SE 103 63 Stockholm, Sweden

No 304, Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: 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.

Keywords: Panel data; Bootstrap; Bootstrap test; Resampling (search for similar items in EconPapers)
JEL-codes: C12 C15 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 1999-02-12, Revised 2000-06-30

Published in Computational Statistics, 2001, pages 221-231.

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Persistent link: http://EconPapers.repec.org/RePEc:hhs:hastef:0304

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