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Re: st: bootstrap ivreg2


From   "Vidya Mahambare" <MahambareV@Cardiff.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: bootstrap ivreg2
Date   Thu, 30 Sep 2004 19:57:12 +0100

Jeff, Thanks for pointing out that -bootstrap - in Stata is not appropriate for
time series data. Is there an inbuilt way in Stata to do time series
bootstrapping? 

Vidya


Dr Vidya Mahambare
B21, Cardiff Business School
Ph: 0044 29 2087 6407
>>> Jeff Pitblado 30/09/04 5:38 PM >>>
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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