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Re: st: Bootstrapping from panel data


From   anirban basu <abasu@midway.uchicago.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Bootstrapping from panel data
Date   Sun, 13 Oct 2002 18:45:07 -0500 (CDT)

Hi,
I think you can use bootstrapping by clusters. So if you have a firm id
that is same for all T time periods, then you can use

bsample #, cluster(firm_id)  


where # = n< N. This will pick up the entire time series for any firm and
will resample firms with replacement.

Anirban



______________________________________
ANIRBAN BASU
Doctoral Student
Harris School of Public Policy Studies
University of Chicago
________________________________________________________________


On Mon, 14 Oct 2002, Patrice Yee Chong San wrote:

> 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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