Ok, I’ve pretty much figured this out. My
problem was that I didn’t restrict the sample to those in the relevant group before
estimating the model. When I do that I get the results I expected.
Sorry to bother you…
PS
From: gretl-users-bounces@lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] On
Behalf Of
Sent: Friday, March 05, 2010 10:09
AM
To:
Subject: [Gretl-users] weird
bootstrap behavior
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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