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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.

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/

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**References**:**Re: st: Bootstrap after xtregar***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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