Jeff et al.,
Thanks for the very clear explanation. Just as a footnote in case
anyone is interested, my workaround doesn't work if the estimator
uses time series operators internally: newey, for example, or ivreg2
with the bw() option.
Cheers,
Mark
From: [email protected] (Jeff Pitblado, StataCorp LP)
To: [email protected]
Subject: Re: st: bootstrapping and time series
Date sent: Fri, 08 Oct 2004 09:41:39 -0500
Send reply to: [email protected]
> Mark Schaffer <[email protected]> asks about using -bootstrap- with
> time series operated variables:
>
> > 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.
>
> -bootstrap- cannot work with processes that require the sort order of the data
> to be preserved. The data needs to be in the correct "time" order for Stata
> to work with time-series operators; however, -bootstrap- performs random
> sampling with replacement which is not compatible with -tsset- and time-series
> operators. This sampling scheme implies that it is possible to observed each
> unit of observed time more than once in any given bootstrap sample.
>
> Mark seems to have found a way around this by generating the variables he
> needs before running -bootstrap-. Since -ivreg- doesn't require the data to
> be -tsset-, -bootstrap- is able to perform its task and provide meaningful
> results.
>
> --Jeff
> [email protected]
> *
> * 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/
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/
