Better confidence intervals: The double bootstrap with no pivot

David Letson, B. D. McCullough

Research output: Contribution to journalArticle

12 Scopus citations

Abstract

The double bootstrap is an important advance in confidence interval generation because it converges faster than the already popular single bootstrap. Yet the usual double bootstrap requires a stable pivot that is not always available, e.g., when estimating flexibilities or substitution elasticities. A recently developed double bootstrap does not require a pivot. A Monte Carlo analysis with the Waugh data finds the double bootstrap achieves nominal coverage whereas the single bootstrap does not. A useful artifice dramatically decreases the computational time of the double bootstrap.

Original languageEnglish (US)
Pages (from-to)552-559
Number of pages8
JournalAmerican Journal of Agricultural Economics
Volume80
Issue number3
DOIs
StatePublished - Aug 1998

Keywords

  • Confidence interval
  • Convergence
  • Elasticity
  • Flexibility
  • Iterated bootstrap
  • Pivot

ASJC Scopus subject areas

  • Agricultural and Biological Sciences (miscellaneous)
  • Economics and Econometrics

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