Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations
- 1 August 1996
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 12 (3), 569-580
- https://doi.org/10.1017/s026646660000685x
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.Keywords
This publication has 2 references indexed in Scilit:
- Prepivoting Test Statistics: A Bootstrap View of Asymptotic RefinementsJournal of the American Statistical Association, 1988
- Better Bootstrap Confidence IntervalsJournal of the American Statistical Association, 1987