Bootstrap confidence intervals for the simultaneous equations model under heavy-tailed contamination

Mathematical and Computer Modelling

Volumn 34, Issue 9-11, 2001, Pages 1159-1170

  Gatto, R ^a  

^a UNIVERSITY OF BERN   (Switzerland)

Author keywords

stable distribution; Asymptotic approximation; Bias corrected accelerated confidence interval; Contaminated distribution; Influence function; Likelihood function; M estimator; Monte Carlo resampling; Small sample size

Indexed keywords

EID: 0035943848     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(01)00124-8     Document Type: Article

References (15)

1. Better bootstrap confidence intervals
2. The Pareto-Lévy law and the distribution of income
3. Some properties of symmetric stable distributions
4. The behaviour of stock market prices
5. Bootstrap methods: Another look to the jackknife
6. Bootstrap methods: Applications in econometrics
7. Theoretical comparisons of bootstrap confidence intervals
8. Bootstrap confidence intervals
9. Saddlepoint approximations of marginal densities and confidence intervals for regression R-estimators