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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 16:51:32 +0100

Vidya,

I've never tried bootstrapping with a tsset dataset so I am at a loss 
here.  Maybe someone else on the list has suggestions?

The only thing I can think of is that you are tsset-ing once, at the 
start of the process, and after the bootstrapping starts, that bit of 
information gets cleared.  The problem might go away if every call to 
ivreg2 was preceded by a call to tsset.

If it doesn't, we might have to add a t() argument to ivreg2 that 
forces it to use a specific variable as the time variable.

--Mark


Date sent:      	Thu, 30 Sep 2004 16:45:11 +0100
From:           	"Vidya Mahambare" <MahambareV@Cardiff.ac.uk>
To:             	<statalist@hsphsun2.harvard.edu>
Subject:        	Re: st: bootstrap ivreg2
Send reply to:  	statalist@hsphsun2.harvard.edu

> I did tsset time variable and ran ivreg2 to check if it is working. It
> worked fine. But doesn't seem to work when I try bootstrapping. It
> still says 'must tsset data and specify timevar'.
> 
> 
> thanks,
> Vidya
> 
> 
> >>> M.E.Schaffer@hw.ac.uk 30/09/2004 16:39:53 >>>
> 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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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

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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