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st: bootstrapping with unbalanced panel

From   Carmine Ornaghi <>
Subject   st: bootstrapping with unbalanced panel
Date   Thu, 4 Nov 2004 18:51:37 +0100 (CET)

Hi Listers,

I have an unbalanced panel data of firms (with
observations between 3 and 10 periods). I use this
data to estimate a production function using dynamic
GMM (Arellano and Bond).

Now I want to do some sort of 'bootstrapping. In
particular, I have the following doubts:
1) I think I need to preserve the same time structure.
What I mean is that I want the random sample to have
the same number of firms with only 3 observations, 4
observations, ... 10 observations that the original
dataset has. In this way they are UNBALANCED in the
same way
2) I have done some experiment with the STATA command
bsample but I have a problem. The Sargan Test of
overidentified restriction is easily passed with the
original dataset but never with all the random samples
created. Do you know why and how I can give a higher
probability of entering into the sample to those
observation that minimize the Sargan Test.

Thanks a lot,


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