Bootstrap variance estimation of nonlinear functions of parameters: An application to long-run elasticities of energy demand

• 成果类型: Article
• 署名作者: Li, HY; Maddala, GS
• 署名单位: Chinese University of Hong Kong; University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/003465399558445
• 发表日期: 1999-11
• 页码: 728-733
• 关键词: confidence-intervals; flexibilities

摘要

In many practical applications, one is interested in obtaining confidence intervals for nonlinear functions of the parameters. This paper considers the following different methods: Fieller's method, Taylor's series expansion, and bootstrap methods. Compared to some of the earlier results in the empirical studies that are against the application of bootstrap, our results suggest a different conclusion in favor of the bootstrap methods.