Bootstrapping an Econometric Model: Some Empirical Results
介绍自助法（bootstrap）用于估计标准误，并将其应用于一个描述资本、劳动、能源和材料需求的经济计量模型。模型采用三阶段最小二乘法拟合，结果显示系数估计和标准误表现良好，但模型预测存在严重偏差和较大随机误差，且传统预测标准误显著低估了这些误差。
The bootstrap, like the jackknife, is a technique for estimating standard errors. The idea is to use Monte Carlo simulation, based on a nonparametric estimate of the underlying error distribution. The bootstrap will be applied to an econometric model describing the demand for capital, labor, energy, and materials. The model is fitted by three-stage least squares. In sharp contrast with previous results, the coefficient estimates and the estimated standard errors perform very well. However, the model's forecasts show serious bias and large random errors, significantly understated by the conventional standard error of forecast.