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Activity Number:
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150
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Type:
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Topic Contributed
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Date/Time:
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Monday, August 3, 2009 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #303369 |
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Title:
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The Moving Blocks Bootstrap for Panel Linear Regression Models with Individual Fixed Effects
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Author(s):
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Silvia Goncalves*+
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Companies:
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University of Montreal
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Address:
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, Montreal, QC, , Canada
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Keywords:
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bootstrap ; panel ; cross section dependence ; HAC
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Abstract:
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The main contribution of this paper is to show the first order asymptotic validity of the moving blocks bootstrap for fixed effects OLS estimators of panel linear regression models with individual fixed effects. We show that this bootstrap method is robust to serial and cross sectional dependence of unknown form under the assumption that n is an arbitrary nondecreasing function of T, thus allowing for the possibility that both n and T diverge to infinity. Our simulation results show that the moving blocks bootstrap percentile-t intervals have very good coverage properties even when the degree of serial and cross sectional correlation is large, provided the block size is appropriately chosen.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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