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Re: st: bootstrap with overlapping clusters


From   Nicholas.Kraninger@bos.frb.org
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: bootstrap with overlapping clusters
Date   Wed, 23 May 2007 15:01:32 -0400

I believe the goal of this bootstrapping exercise is to approximate the 
distribution of a certain statistic estimated from time series financial 
data (e.g. returns of stock XYZ).  I don't actually know all of the 
particulars; I am a research assistant.  A cluster is defined as the k 
previous observations, the current observation, and the k following 
observations.  So as we move through time, there will be substantial 
overlap in the clusters.  I know how to use the bootstrap cluster options 
to do this exercise with non-overlapping clusters, and I didn't know if it 
was possible to use Stata's built-in bootstrap to do the same thing for 
the overlapping case as well.  I think the situation is in many ways 
analogous to the panel study of households that you mention.  I will post 
more details if I find out more specifics of the project.

Thanks,
Nick

>Nick, please provide more details about your problem: I'd like to know: 
what the target population is, how the sample was drawn, what defines the 
clusters, and in what way they overlap. Also, what >questions do you want 
to answer with the bootstrap--do you want simple descriptive statistics 
for subpopulations or do you want to do make comparisons, do modeling, or 
all of the above. If you are >working with an established survey, is there 
a document which suggests an analysis setup (not necessarily in Stata)?

>I suspect that you have a panel study in which different households? 
firms? rotate in and out, so that the overlap is in time--but I await your 
answer.

>Steve
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