Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: st: bootstrapping and time series


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: bootstrapping and time series
Date   Fri, 8 Oct 2004 18:50:31 +0100

I'm sure Stas (and Jeff Pitblado) are right here. 

However, do note that there is literature on special 
bootstrapping methods for time series (see e.g. Politis _Statistical 
Science_ 2003). The point is that Stata's 
-bootstrap- implements none of these methods. 

How far such methods extend to panel data I 
do not know. 

Nick 
n.j.cox@durham.ac.uk 

Stas Kolenikov
 
> 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
> *
> *   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/
> 

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index