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st: RE: Bootstrapping from panel data


From   "Steven Stillman (LMPG)" <Steven.Stillman@lmpg.dol.govt.nz>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Bootstrapping from panel data
Date   Mon, 14 Oct 2002 12:31:03 +1300

Patrice.  Just use bstrap with the cluster option (your firm id variable is
your cluster id) this provides a resample of clusters, not observations.
Also, have a look at "Analysis of Household Survey Data" by Angus Deaton.
He provides hand-written stata code for dealing w/ similar type issues
(individuals within households).  

Steve

> -----Original Message-----
> From:	Patrice Yee Chong San [SMTP:patrice.yee@adelaide.edu.au]
> Sent:	Monday, October 14, 2002 10:17 AM
> To:	statalist@hsphsun2.harvard.edu
> Subject:	st: Bootstrapping from panel data
> 
> 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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