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Re: st: bootstrap ivreg2


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: bootstrap ivreg2
Date   Thu, 30 Sep 2004 16:39:53 +0100

Vidya,

ivreg2 needs to know about the time variable you are using in order 
to handle autocorrelation.  You would get this error even if you ran 
one regression by hand - it's not related to bootstrapping.

Try preceding the call to ivreg2 with

tsset <your time variable>

and see what happens.

--Mark

Date sent:      	Thu, 30 Sep 2004 16:32:43 +0100
From:           	"Vidya Mahambare" <MahambareV@Cardiff.ac.uk>
To:             	<statalist@hsphsun2.harvard.edu>
Subject:        	st: bootstrap ivreg2
Send reply to:  	statalist@hsphsun2.harvard.edu

> Following Mark's reply I have now updated ivreg2 . Thanks.
> 
> I am now trying to use -bootstrap- with ivreg2, but I keep getting the
> following error message.
> 
> insufficient observations to compute bootstrap standard errors
> > no results will be saved
> > r(2000);
> 
> I supplied -bootstrap- with the -noisily- option to find out what is
> the problem, which results in the error message - 
> 
> must tsset data and specify timevar
> captured error running (ivreg2 r (lagr leadrpixg leadgdpg=.......
> 
> I would appreciate any ideas on this.
> 
> Is there another way to bootstrap GMM estimates for time series in
> Stata? 
> 
> 
> Thanks
> Vidya 
> 
> 
> 
> 
> 
> 
> *
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert

*
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