Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Bootstrap after xtregar


From   Helene Ehrhart <Helene.Ehrhart@u-clermont1.fr>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Bootstrap after xtregar
Date   Thu, 19 Mar 2009 23:12:10 +0100

Thank you Marteen for this useful precision.
So I won't use this method to do my estimations and I will post another thread to find how I could then estimate in 2SLS with random effects correcting for autocorrelation.

Best regards,

Hélène Ehrhart.

Quoting Maarten buis <maartenbuis@yahoo.co.uk>:


--- On Thu, 19/3/09, Helene Ehrhart wrote:
Since I saw that it is possible to use bootstrap after
xtregar, I  tried again with my database changing options.
In fact with the default values for reps and size, it
tells me that I don't have enough observations.

I have 255 observations so the bootstrap run when I specify
:

bs, reps(250) size(40): xtregar equation, re

Since it then use a sample of only 40 observations, I am
not sure that the results will be very reliable.

You should not use the -size()- option. The idea behind the
bootstrap is that you sample with replacement N out of N
observations. In your case you get an estimated se if you
had a sample of 40 instead of 255, i.e. you are underestimating
the precision of your estimate.

However, I don't think the bootstrap facilities in Stata are
appropriate for your type of problem. You have highly structured
data: there is a clustering in groups and there is a time
dimension, both of which should be respected in the way the
bootstrap samples are drawn, while the standard bootstrap just
assumes a simple random sample. In particular maintaining the
autocorelation structure in your bootstrap samples is going
to be hard (if not impossible).

Sorry for not being more chearful,
Maarten

-----------------------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

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




*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/






*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index