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Re: st: Bootstrap with time series models


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Bootstrap with time series models
Date   Wed, 03 Oct 2007 11:38:15 -0400

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
yaffee@nyu.edu
homepage: http://homepages.nyu.edu/~ray1/

----- Original Message -----
From: ROBERTO PASCUAL <rpascual@uib.es>
Date: Wednesday, October 3, 2007 11:05 am
Subject: st: Bootstrap with time series models
To: statalist@hsphsun2.harvard.edu


> 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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