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RE: st: xtreg and vce(bootstrap)


From   "Alix-Garcia, Jennifer" <Jennifer.Alix-Garcia@mso.umt.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: xtreg and vce(bootstrap)
Date   Tue, 31 Oct 2006 09:18:03 -0700

Hmmm...I did try bootstrapping it using the bootstrap cluster() option and got somewhat different results, which was on reason why I was wondering about the sampling used for vce(bootstrap).  I will try to get my hands on a manual and figure out if it specifies the sampling strategy.  Thanks for your help.  
 
Jennifer Alix-Garcia
Assistant Professor 
Department of Economics
University of Montana
406-243-5612

________________________________

From: owner-statalist@hsphsun2.harvard.edu on behalf of Austin Nichols
Sent: Mon 10/30/2006 10:16 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: xtreg and vce(bootstrap)



Jennifer--
I don't have a manual handy, but I believe the approach is to sample
panels (thus, strings of time series corresponding to the whole panel,
in your parlance) with replacement, much as the cluster option on
-bootstrap- does.  Also note
(from update 06oct2006)
1. areg with option vce(bootstrap) or vce(jackknife) resampled
observations instead of the groups identified by the absorb()
variable. This has been fixed.

On 10/30/06, Alix-Garcia, Jennifer <Jennifer.Alix-Garcia@mso.umt.edu> wrote:
> Hello,
>
> It isn't clear to me what kind of sampling method the vce(bootstrap) command uses when you specify it as an option for xtreg with fixed effects with a panel.  Does it use a "block bootstrap" method, i.e., drawing strings of time series from within the i() variable?  If so, how long of a block does it draw? If not, how is it dealing with serial correlation?  Thanks in advance for your insights.  Best, Jennifer
>
> Jennifer Alix-Garcia
> Assistant Professor
> Department of Economics
> University of Montana
> 406-243-5612
>
>
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