Folks,
I’ve just noticed some very strange behavior when I
try to generate studentized bootstrap confidence intervals in a model with only
a constant (this is problem 5.6 in Davidson/MacKinnon’s ETM). The model
is earnings data regressed on a dummy variable for a particular income group,
so it’s just estimating the mean.
Here are the results from running a studentized bootstrap:
For the coefficient on G3 (point estimate 27973.6):
Studentized 95% confidence interval = 16009.7 to
17410.2
Based on 999 replications, using resampled residuals
The graph of the sampling distribution, on the other hand,
is centered roughly on the point estimate (see ‘studentized.pdf’,
attached).
When I do a regular bootstrap confidence interval, I get
For the coefficient on G3 (point estimate 27973.6):
95% confidence interval = 42857 to 44843
Based on 999 replications, using resampled residuals
With the distribution in ‘bootstrap.pdf’.
Things seem to work ok in a model with all three group
dummies and no constant.
PS
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Dr. Peter Summers
Assistant Professor
Department of Economics
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