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BC Bootstrap Confidence Intervals for Random Effects Panel Data Models

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  • Andrés Carvajal

Abstract

We study the application of bootstrap procedures to the problem of constructing confidence intervals for the coefficients of random effects panel data models, based on GLS point estimation. The central problem is the one of adequately resampling from the estimated residuals of the model, avoiding violations of the structural features of the random shocks.

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  • Andrés Carvajal, 2004. "BC Bootstrap Confidence Intervals for Random Effects Panel Data Models," Investigación Económica en Colombia 2061, Fundación Pondo.
    • Handle: RePEc:col:000100:002061
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    File URL: http://www.webpondo.org/files_oct_dic_03/paper.pdf
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    1. Andrews, Donald W.K. & Buchinsky, Moshe, 2002. "ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS," Econometric Theory, Cambridge University Press, vol. 18(04), pages 962-984, August.
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