[gretl-users] bootstrapping standard errors
by JOSE FRANCISCO PERLES RIBES
Dear all:
I'm trying to replicate a table similar to that of Angrist and
Pischke(2009) Mostly Harmless Econometrics chapter 8 p,306 where
in a Monte Carlo experiment comparing different bootstrap standard
errors(conventional versus White, ...HAC) for
a regression coefficient of interest, to show that the robust errors tend to
be biased if the problem that are trying to solve (heteroskedasticity or
autocorrelation) is not very serious.
I have seen that Gretl GUI has a bootstrap option when estimates a model,
but it is for the confidence interval and p-value. This option allows you
save the values, which is very interesting to get the mean and standard
deviation of the beta coefficient.
But my question is, there is no option to save the estimated standard errors
directly, and via descriptive statistics to obtain the mean and standard
deviation of these errors?
Thanks in advance and sorry for any inconvenience.
José F. Perles Ribes
Honorary Collaborator
Applied Economic Analysis Department
University of Alicante (Spain)