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st: bootstrapping standard errors with several estimated regressors


From   "Erasmo Giambona" <e.giambona@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: bootstrapping standard errors with several estimated regressors
Date   Fri, 6 Jul 2007 13:46:13 -0400

Dear Statalist users,
I am estimating a model which includes several estimated regressors
and two observed regressors. Therefore, I am bootstrapping the
standard errors. I had thought that bootstrapping would cause
statistical significance for all regressors to go down. However, I
noticed that statistical significance goes down for the estimated
regressors go down while it actually goes up for the 2 observed
regressors.
Is this what the theory predicts. Is there a good reference that
addresses this issue?
Any help would be appreciated.
Thanks very much,
Erasmo
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