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RE: st: bootstrap with overlapping clusters


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: bootstrap with overlapping clusters
Date   Wed, 23 May 2007 21:02:34 +0100

There is more in a special issue of Statistical
Science on the bootstrap a few years ago. Same 
disclaimer on personal expertise. 

1  George Casella, Introduction to the Silver Anniversary of the
Bootstrap, Statistical Science. Volume 18, Issue 2 (2003), 133-134. 

2  Bradley Efron, Second Thoughts on the Bootstrap, Statistical Science.
Volume 18, Issue 2 (2003), 135-140. 
 
3  A. C. Davison, D. V. Hinkley, G. A. Young, Recent Developments in
Bootstrap Methodology, Statistical Science. Volume 18, Issue 2 (2003),
141-157. 

4  Peter Hall, A Short Prehistory of the Bootstrap, Statistical Science.
Volume 18, Issue 2 (2003), 158-167. 

5  Dennis D. Boos, Introduction to the Bootstrap World, Statistical
Science. Volume 18, Issue 2 (2003), 168-174. 

6  Rudolf Beran, The Impact of the Bootstrap on Statistical Algorithsm
and Theory, Statistical Science. Volume 18, Issue 2 (2003), 175-184. 

7  Subhash R. Lele, Impact of Bootstrap on the Estimating Functions,
Statistical Science. Volume 18, Issue 2 (2003), 185-190. 

8  Jun Shao, Impact of the Bootstrap on Sample Surveys, Statistical
Science. Volume 18, Issue 2 (2003), 191-198. 

9  P. Lahiri, On the Impact of Bootstrap in Survey Sampling and
Small-Area Estimation, Statistical Science. Volume 18, Issue 2 (2003),
199-210. 
 
10  Joel L. Horowitz, The Bootstrap in Econometrics, Statistical
Science. Volume 18, Issue 2 (2003), 211-218. 

11  Dimitris N. Politis, The Impact of Bootstrap Methods on Time Series
Analysis, Statistical Science. Volume 18, Issue 2 (2003), 219-230. 

12  Michael D. Ernst, Alan D. Hutson, Utilizing a Quantile Function
Approach to Obtain Exact Bootstrap Solutions, Statistical Science.
Volume 18, Issue 2 (2003), 231-240. 

13  Douglas E. Soltis, Pamela S. Soltis, Applying the Bootstrap in
Phylogeny Reconstruction, Statistical Science. Volume 18, Issue 2
(2003), 256-267. 

Nick 
n.j.cox@durham.ac.uk 

Steven Samuels
 
> 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.
 
> 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.

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