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st: Bootstrap and xtregar?


From   Glen Waddell <waddell@OREGON.UOREGON.EDU>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Bootstrap and xtregar?
Date   Mon, 18 Nov 2002 12:05:03 -0800

The problem I have is related to me wanting to account for both the presence
of serial correlation and for using generated regressors.  "xtregar" fixes
the serial correlation just fine, but the estimated regressors are not being
accounted for, as I understand the procedure.  Thus, I am trying to
bootstrap the standard errors.  In the line below, indepvar1-indepvar3 are
all estimates from an earlier stage.


bs "xtregar depvar indepvar1 indepvar2 indepvar3 if compno ~= 0 & dir == 1 &
flag ~= 1, fe" "_b[indepvar1] _b[indepvar2] _b[indepvar3]", reps(50)


The output is returned as follows:

Bootstrap statistics

Variable |   Reps   Observed       Bias   Std. Err.   [95% Conf. Interval]
---------+------------------------------------------------------------------
-
     bs1 |      0   .5309594          .          .           .         .
(N)
         |                                                   .         .
(P)
         |                                                   .         .
(BC)
---------+------------------------------------------------------------------
-
     bs2 |      0  -.3184277          .          .           .         .
(N)
         |                                                   .         .
(P)
         |                                                   .         .
(BC)
---------+------------------------------------------------------------------
-
     bs3 |      0  -.3508248          .          .           .         .
(N)
         |                                                   .         .
(P)
         |                                                   .         .
(BC)
----------------------------------------------------------------------------
-
                              N = normal, P = percentile, BC =
bias-corrected


Does this mean that the xtregar estimation procedure is incompatible with
Stata's canned bootstrapping techniques?  What does it mean?

Many thanks,
Glen




____________________________________
Glen R. Waddell
Department of Economics, 509 PLC
1285 University of Oregon
Eugene, OR  97403-1285
phone: (541) 346-1259
fax: (541) 346-1243
http://darkwing.uoregon.edu/~waddell
waddell@oregon.uoregon.edu


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