Robert,
Time series models require a block or wild bootstrap.
Stata does not have either of these yet, though I think that Austin Nichols indicated that
there is a wild bootstrap in workshop somewhere. I think he said that it needs documentation.
Regards,
Robert
Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University
home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]
homepage: http://homepages.nyu.edu/~ray1/
----- Original Message -----
From: ROBERTO PASCUAL <[email protected]>
Date: Wednesday, October 3, 2007 11:05 am
Subject: st: Bootstrap with time series models
To: [email protected]
> Hi everybody,
>
>
>
> I am a quite recent Stata user, so probably my question is too simple
> for
> the members of this list. Anyway, here it comes:
>
>
>
> Is there any way to use the Stata bootstrapping facility with time series
> estimation functions, such as var or arima?
>
>
>
> Thank you in advance for your suggestions and comments.
>
>
>
> Robert
>
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