Date: Wed, 25 Oct 2006 23:18:41 -0400
Reply-To: Kitty Lee <lee.kitty@YAHOO.COM>
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: Kitty Lee <lee.kitty@YAHOO.COM>
Subject: Bootstrap OLS
I have a question about using bootstrapping to do hypothesis testing in OLS.
Say for example, I have
I'm asked to test whether b1=b2. Normally I would run 2 regressions, one
without restriction, and another with restrict b*=b1+b2 and do F test. But
someone told me I could do the same test with bootstrapping.
The idea is that I can first calculate
ts=b1-b2 from the full sample. Use ts as the critical value for rejection
Do bootstrapping, calculate bs=b1-b2 from bootstrap sample.
Then see how many bs-ts falls to the right (or left) of the critical value.
Does this make sense?
I wasn't 100% convinced. From my full sample, ts=b1-b2=10. If I do the
above, what exactly am I testing? Am I testing b1=b2 or simply b1-b2=10?