Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: bootstrap with overlapping clusters


From   Steven Samuels <ssamuels@albany.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: bootstrap with overlapping clusters
Date   Wed, 23 May 2007 15:33:21 -0400



Nick, bootstrapping time series is a specialized topic not much related to panel surveys-and it is a topic in which I am not expert. In the book by Efron and Tibshirani (An Introduction to the Bootstrap, 1993, Chapman and Hall), two methods are discussed: the "moving blocks" method and bootstrapping residuals from the fit of a time-series model. I know that the topic has come up before in Statalist, without much of a useful answer. A Google search on "bootstrap time-series" will show you some recent approaches. I'm sorry I can't help you more.

Steve

On May 23, 2007, at 3:01 PM, Nicholas.Kraninger@bos.frb.org wrote:


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.

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index