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Re: st: bootstrap with overlapping clusters


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: bootstrap with overlapping clusters
Date   Wed, 23 May 2007 16:31:07 -0500

Of those, Horowitz' and Politis' papers would be the most relevant.
There's been plenty of stuff written on the bootstrap in econometrics
by Horowitz (and econometricians generally tend to concentrate on the
time-series bootstrap). Of other typical econometric references,
Davidson and MacKinnon had some work on the bootstrap -- this one is
online: doi:10.1111/0008-4085.00147, and I remember seeing their
Chapter in Handbook of Econometrics some while ago in electronic form,
too.

On 5/23/07, Nick Cox <n.j.cox@durham.ac.uk> wrote:
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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--
Stas Kolenikov
http://stas.kolenikov.name
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