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Re: st: bootstrap with stata

From   "maartenbuis" <>
Subject   Re: st: bootstrap with stata
Date   Mon, 15 Aug 2005 15:32:43 -0000

--- "Roys, Nicolas A." <Nicolas_A_Roys@b...> wrote:
> I need to compute the variance of a moment.
> I have a panel data set with about 16000 firms and 6 years.
> I suppose I need to use bootstrap techniques. 
> Here is what I want to do with STATA :
> - select Y subsets of X firms from my panel data set
> - compute the moment for each subset
> - compute the variance of this moment between the Y subsets
> So my questions are the following :
> - how to choose X ?
> - how to choose Y ?
> - Do somebody know a stata program doing what i want to do ?

Hi Nicolas,

If you typed -findit bootstrap- in Stata then you would have found the
-bootstrap- command in Stata. 

However, your question suggest you do not fully understand the
principles behind bootstrap. Generally, bootstrapping does not mean
you create different subsamples, but that you create a new samples,
usually with the same number of observations, by sampling *with
replacement* from your original sample. A good and very clearly
written introduction is (Efron and Tibshirani, 1993).

Bradley Efron and Robert Tibshirani (1993) "An introduction to the
Bootstrap", Chapman & Hall. 

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