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Re: st: bootstrapping and time series


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: bootstrapping and time series
Date   Fri, 8 Oct 2004 13:42:43 -0400

DON"T TWEAK WITH THE BOOTSTRAP!

I would argue that statistically the bootstrap of the time series as
if it were i.i.d. is at least misleading. The bootstrap resamples
should resemble the data generating mechanism.

Suppose you had I(1) process originally, and you bootstrap it naively.
Then what you have is not a time series anymore, but just a bunch of
heteroskedastic observations, and an AR(1) process fit to this data
would give you zero correlation.

If you bootstrap your dynamic panel data naively and then run
-ivreg-... well, you are on your own with your referees. If you are
lucky, and they don't know much about the bootstrap, and your paper
gets through... then somebody will have a chance to publish a paper
just to rebut your results. Nobody needs this sort of a professional
embarassment.

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