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(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Summers, Peter Sent: Friday, March 05, 2010 10:09 AM To: Gretl list 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 =============================== Dr. Peter Summers Assistant Professor Department of Economics Texas Tech University ===============================