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Re: st: bootstrap with overlapping clusters
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.
>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
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