Confidence Intervals for the Hyperparameters in Structural Models |
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| Authors: | Glaura C. Franco Thiago R. Santos Juliana A. Ribeiro F. R. B. Cruz |
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| Affiliation: | 1. Department of Statistics , Federal University of Minas Gerais , Minas Gerais, Brazil glauraf@ufmg.br;3. Department of Statistics , Federal University of Minas Gerais , Minas Gerais, Brazil |
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| Abstract: | This article deals with the bootstrap as an alternative method to construct confidence intervals for the hyperparameters of structural models. The bootstrap procedure considered is the classical nonparametric bootstrap in the residuals of the fitted model using a well-known approach. The performance of this procedure is empirically obtained through Monte Carlo simulations implemented in Ox. Asymptotic and percentile bootstrap confidence intervals for the hyperparameters are built and compared by means of the coverage percentages. The results are similar but the bootstrap procedure is better for small sample sizes. The methods are applied to a real time series and confidence intervals are built for the hyperparameters. |
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| Keywords: | Asymptotic confidence intervals Nonparametric bootstrap State space models |
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