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Re: st: bootstrap ivreg2


From   jpitblado@stata.com (Jeff Pitblado, StataCorp LP)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: bootstrap ivreg2
Date   Thu, 30 Sep 2004 11:38:33 -0500

Vidya Mahambare <MahambareV@Cardiff.ac.uk> asks about using -bootstrap- with
-tsset- data:

> Many thanks for your suggestions. I have now tried tsset-ing the sample just
> before starting boostrapping. But it still gives the same message.
> 
> Is there anyone else who has faced a similar problem with ivreg2? 

The nonparametric bootstrap is not really appropriate with time-series
analysis.  The sampling method used by the nonparametric bootstrap is not
compatible with autocorrelated data.

--Jeff
jpitblado@stata.com
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