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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 304:
Bootstrapping Error Component Models

Michael K. Andersson and Sune Karlsson ()

Abstract: 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; (follow links to similar papers)

JEL-Codes: C12; C15; C23; (follow links to similar papers)

12 pages, February 12, 1999, Revised June 30, 2000

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This paper is published as:
Andersson, Michael K. and Sune Karlsson, (2001), 'Bootstrapping Error Component Models', Computational Statistics, Vol. 16, No. 2, pages 221-231



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