Bootstrapping error component model
type: Item
instance of: scholarly article
title: Bootstrapping error component model
zbMATH Open document ID: 1007.62040
author: Michael K. Andersson
author: Sune Karlsson
published in: Computational Statistics
publication date: 2003-03-09T00:00:00Z
review text: The one-way error component model \(y_{it}=\alpha+x_{it}\beta+\mu_i+\varepsilon_{it}\), \(i=1,\dots,n\), \(t=1,\dots,T\), is considered, where \(y_{it}\) and \(x_{it}\) are observable variables, \(\mu_i\sim(0,\sigma_\mu^2)\), \(\varepsilon_{it}\sim(0,\sigma_\varepsilon^2)\), \(E\varepsilon_{it},\varepsilon_{js}=0\), \(E\mu_i\mu_j=0\) and \(E\mu_i\varepsilon_{jt}=0\). Generalized least squares estimators for the parameters are described. The authors discuss different bootstrap-type procedures for tests of hypotheses on the variance ratios \(\sigma^2_\mu/(\sigma_\mu^2+\sigma_\varepsilon^2)\). These procedures are: direct nonparametric resampling, nonparametric resampling of the error components, parametric resampling of the error components, and nonparametric resampling of the orthogonalized residuals. The sizes and power of the obtained tests are compared via simulations.
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62G09
Mathematics Subject Classification ID: 62F40
zbMATH DE Number: 1878609
zbMATH Keywords: ANOVA
zbMATH Keywords: generalized least squares
zbMATH Keywords: bootstrap
MaRDI profile type: Publication
full work available at URL: s001800100061
OpenAlex ID: W2067495907
DOI: 10.1007/S001800100061
description: scientific article; zbMATH DE number 1878609