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Bootstrapping Error Component Models

Author

Listed:
  • Michael K. Andersson

    (National Institute of Economic Research)

  • Sune Karlsson

    (Stockholm School of Economics)

Abstract

Summary 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.

Suggested Citation

  • Michael K. Andersson & Sune Karlsson, 2001. "Bootstrapping Error Component Models," Computational Statistics, Springer, vol. 16(2), pages 221-231, July.
    • Handle: RePEc:spr:compst:v:16:y:2001:i:2:d:10.1007_s001800100061
    DOI: 10.1007/s001800100061
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    References listed on IDEAS

    as
    1. James G. MacKinnon & Russell Davidson, 1996. "The Size And Power Of Bootstrap Tests," Working Paper 932, Economics Department, Queen's University.
    2. Bellmann, L & Breitung, J & Wagner, Joachim, 1989. "Bias Correction and Bootstrapping of Error Component Models for Panel Data: Theory and Applications," Empirical Economics, Springer, vol. 14(4), pages 329-342.
    3. Davidson, Russell & MacKinnon, James G., 1996. "The Power of Bootstrap Tests," Queen's Institute for Economic Research Discussion Papers 273372, Queen's University - Department of Economics.
    4. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
    5. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
    6. Ziliak, James P, 1997. "Efficient Estimation with Panel Data When Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 419-431, October.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2018. "Robust linear static panel data models using ε-contamination," Journal of Econometrics, Elsevier, vol. 202(1), pages 108-123.
    2. Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2022. "Robust Dynamic Space-Time Panel Data Models Using ε-contamination: An Application to Crop Yields and Climate Change," Center for Policy Research Working Papers 254, Center for Policy Research, Maxwell School, Syracuse University.
    3. Stanislav Anatolyev, 2007. "The basics of bootstrapping (in Russian)," Quantile, Quantile, issue 3, pages 1-12, September.

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    More about this item

    Keywords

    Panel data; Bootstrap; Bootstrap test; Resampling;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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