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st: Bootstrapping from panel data


From   Patrice Yee Chong San <patrice.yee@adelaide.edu.au>
To   statalist@hsphsun2.harvard.edu
Subject   st: Bootstrapping from panel data
Date   Mon, 14 Oct 2002 06:17:18 +0900

Hi Listers,

I have a balanced panel data of N=1130 firms over T=36 time periods and 
15 explanatory variables. What I plan to do now is some sort 
of 'bootstrapping. 

I want to create a random sample of n<N firms with replacement in such 
a way that i also pick their entire corresponding time series at the 
same time. And also, i want to ensure that a particular firm can be in 
the sample more than once.

The bstrp command in Stata only  picks individuals/firms i from a 
particular period but i want to preserve the time structure of my data. 
I have been through the manuals and FAQ but cannot find anything on 
bootstrapping from panel data. The goal is to do my analyses on this 
sample and to repeat this over and over and then to compare results.

Is there any way to do this? The solution is eluding me.

Regards
Patrice

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