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st: Bootstrapping with panel data


From   "James W. Shaw" <shaw@pharmacy.arizona.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Bootstrapping with panel data
Date   Sun, 04 Aug 2002 09:16:31 -0700

Dear Sirs:

I have a panel data set consisting of 3600 subjects each of whom was
asked to rate 11 health states.  The health states were selected
randomly from a pool of 41 states.  Ratings were converted to a scale
ranging from -1 to 1.  I am interested in using a random-effects model
to estimate the health state ratings from a set of regressors.  I would
like to know how nonparametric bootstrapping could be used to derive
confidence limits for the parameters.  I am very familiar with
bootstrapping in other contexts, but have never used it with panel
data.  Though there appear to be a number of articles discussing the
application of the bootstrap to time series (including Efron and
Tibshirani), I have seen none that discuss use of nonparametric
bootstrapping with panel data.

My question is as follows:  Would I need to use block (or clustered)
bootstrapping with my data?  I am treating subject as a random effect.
If grouped bootstrapping was called for, then I presume that one would
use Stata's cluster option as follows:  bs "..." "...", reps(...)
cluster(subject).

Any suggestions would be greatly appreciated.

Best Regards,

James Shaw
Graduate Research Associate
College of Pharmacy
The University of Arizona
shaw@pharmacy.arizona.edu
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