Hi,
Is there an easy way to get p-values from the bias corrected estimates
of a bootstrap? I get the bias-corrected 95% confidence interval, but
it would be nice to get a p-value corresponding to whether the estimated
coefficient from my messy estimation procedure is <= 0. Since the
distribution of the estimated coefficients is highly non-normal, looking
at the estimated standard errors isn't helpful. I can save the
estimated betas and add the bias, but I believe that the bias corrected
estimate is better than what you get if you just look at the percentage
of non-positive estimated coefficients.
Thanks in advance,
John
--------------------------------------------------
John Wald
Department of Finance
College of Business
University of Texas at San Antonio
One UTSA Circle
San Antonio, TX 78249
[email protected]
210-458-6324
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