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Bootstrap Variance Estimation of Nonlinear Functions of Parameters: An Application to Long-Run Elasticities of Energy Demand

The Review of Economics and Statistics 1999 81(4), 728-733
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.