Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations

B-Tier
Journal: Econometric Theory
Year: 1996
Volume: 12
Issue: 3
Pages: 569-580

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:12:y:1996:i:03:p:569-580_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29