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Computational Statistics

, Volume 16, Issue 2, pp 221–231 | Cite as

Bootstrapping Error Component Models

  • Michael K Andersson
  • Sune Karlsson

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.

Keywords: Panel data; Bootstrap; Bootstrap test; Resampling. 

Copyright information

© Physica-Verlag, Heidelberg 2001

Authors and Affiliations

  • Michael K Andersson
    • 1
  • Sune Karlsson
    • 2
  1. 1.National Institute of Economic Research, P. O. Box 3116, SE 103 63 Stockholm, Sweden, E-mail: micke@konj.seSE
  2. 2.Department of Economic Statistics, Stockholm School of Economics, P. O. Box 6501, SE 113 83 Stockholm, Sweden, E-mail: Sune.Karlsson@hhs.seSE

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