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RE: R: st: RE: montecarlo simulations with actual distributions


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   RE: R: st: RE: montecarlo simulations with actual distributions
Date   Wed, 2 Jul 2008 16:07:04 +0100 (BST)

--- emanuele canegrati <emanuele.canegrati@hotmail.it> wrote:
> I try to explain it better. My strategy is the following:
> 
> 1. Estimating the actual distribution of my dependent variable
> (market returns); is kernel density the right solution for this?
> 
> 2. Generating n random samples for market returns according to the
> actual distibution which I estimated at the previous point;
> 
> 3. Performing panel regressions by using the randomly generated
> returns.

The bootstrap with panel data is a complicated subject. Unless you
really know what you are doing I would not go near there. Or you can go
to the Summer North American Stata Users Group meeting in Chicago on
July 2425, and listen to what Stas Kolenikov has to say about this.

-- Maarten


-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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