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Re: st: bootstrap ivreg2


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: bootstrap ivreg2
Date   Thu, 30 Sep 2004 16:37:38 -0400

The relatively commonly accepted way to do the time series bootstrap
is by blocks. If what you indeed have are panel data, then I would
suggest resampling by panels as a whole. You should be able to do that
with -bootstrap, cluster()-. If yours is a genuine time series, you
need to find out what the state of the art is through current
publications on the topic. It's going to be tough to taylor Stata's
-bootstrap- to work with that, however.

Stas

On Thu, 30 Sep 2004 19:57:12 +0100, Vidya Mahambare
<mahambarev@cardiff.ac.uk> wrote:
> 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

-- 
Stas Kolenikov
http://stas.kolenikov.name
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