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st: bootstrapping and time series


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: bootstrapping and time series
Date   Fri, 08 Oct 2004 12:05:01 +0100

Hi everybody.  A week or so ago Vidya Mahambare reported a problem 
with bootstrapping and GMM using ivreg2.

It turns out the issue is not ivreg2, but any estimation using time 
series operators.

An example:

use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta
tsset year, yearly

gen lunem=l.unem
gen l2unem=l2.unem

* These two ivreg2 command generate exactly the same output:
ivreg cinf (unem = l.unem l2.unem)
ivreg cinf (unem = lunem l2unem)

* This bootstrap works fine:
bootstrap "ivreg cinf (unem = lunem l2unem)" _b, reps(100) bca
* But this one dies:
bootstrap "ivreg cinf (unem = l.unem l2.unem)" _b, reps(100) bca

The output from the last command is reported below.  Anyone have any 
idea why this is so?  I am not a bootstrap expert, so for all I know 
this is expected behaviour and not a bug.

Cheers,
Mark


. bootstrap "ivreg cinf (unem = l.unem l2.unem)" _b, reps(100) bca

command:      ivreg cinf (unem = l.unem l2.unem)
statistics:   b_unem     = _b[unem]
              b_cons     = _b[_cons]

Bootstrap statistics                              Number of obs    =        47
                                                  Replications     =       100

------------------------------------------------------------------------------
Variable     |  Reps  Observed      Bias  Std. Err. [95% Conf. Interval]
-------------+----------------------------------------------------------------
      b_unem |     0 -.4079928         .         .          .          .   (N)
             |                                              .          .   (P)
             |                                              .          .  (BC)
             |                                              .          . (BCa)
      b_cons |     0  2.447039         .         .          .          .   (N)
             |                                              .          .   (P)
             |                                              .          .  (BC)
             |                                              .          . (BCa)
------------------------------------------------------------------------------
Note:  N   = normal
       P   = percentile
       BC  = bias-corrected
       BCa = bias-corrected and accelerated

insufficient observations to compute bootstrap standard errors
no results will be saved
r(2000);

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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