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计量经济学中的估计与推断

Estimation and Inference in Econometrics.

Economica · 1995
被引 75
人大 BABS 3

中文导读

回顾了自助法推断的基本思想,包括蒙特卡洛检验、多种自助法检验和自助法置信区间,并指出自助法虽常有效但并非万能。

Abstract

The astonishing increase in computer performance over the past two decades has made it possible for economists to base many statistical inferences on simulated, or bootstrap, distributions rather than on distributions obtained from asymptotic theory. In this paper, I review some of the basic ideas of bootstrap inference. The paper discusses Monte Carlo tests, several types of bootstrap test, and bootstrap confidence intervals. Although bootstrapping often works well, it does not do so in every case.

计量经济学统计推断自助法蒙特卡洛检验