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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