弹性标准误:自助法与渐近标准误的比较

Standard Errors for Elasticities: A Comparison of Bootstrap and Asymptotic Standard Errors

Journal of Business & Economic Statistics · 1987
被引 45
人大 AABS 4

中文导读

比较了线性支出需求系统中弹性标准误的两种计算方法:泰勒级数法和Efron自助法。实例表明,除收入弹性外,两种方法结果相近,而渐近标准误在收入弹性上偏大一倍。

Abstract

This article compares two methods of deriving standard errors for elasticities in a linear expenditure demand system with first-order autoregressive errors. The first is the ordinary Taylor series method and the second is Efron's bootstrap. In an example problem, these two methods yielded similar values for the standard errors, with the exception of the income elasticity standard errors, for which the asymptotic standard errors were apparently too large by a factor of two.

弹性标准误Bootstrap法渐近标准误线性支出需求系统