Journal Article

Better Confidence Intervals: The Double Bootstrap with No Pivot

David Letson and B.D. McCullough

in American Journal of Agricultural Economics

Published on behalf of Agricultural and Applied Economics Association

Volume 80, issue 3, pages 552-559
Published in print August 1998 | ISSN: 0002-9092
Published online August 1998 | e-ISSN: 1467-8276 | DOI: http://dx.doi.org/10.2307/1244557
Better Confidence Intervals: The Double Bootstrap with No Pivot

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  • Single Equation Models; Single Variables
  • Econometric Modelling
  • Agricultural Economics

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The double bootstrap is an important advance in confidence interval generation because it converges faster than the already popular single bootstrap. Yet the usual double bootstrap requires a stable pivot that is not always available, e.g., when estimating flexibilities or substitution elasticities. A recently developed double bootstrap does not require a pivot. A Monte Carlo analysis with the Waugh data finds the double bootstrap achieves nominal coverage whereas the single bootstrap does not. A useful artifice dramatically decreases the computational time of the double bootstrap.

Keywords: confidence interval; convergence; elasticity, flexibility; iterated bootstrap; pivot; C200; C520; Q110

Journal Article.  0 words. 

Subjects: Single Equation Models; Single Variables ; Econometric Modelling ; Agricultural Economics

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