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st: Re: Bootstrapping with xtabond


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Bootstrapping with xtabond
Date   Sat, 5 Sep 2009 09:42:04 -0400

On Sep 5, 2009, at 2:33 AM, Laura wrote:

Thanks a lot for your answer. I'm trying to use booststrap to estimate
standard errors, because I plugged in my equation the fitted values of an
auxiliary regression because the regressor it very likely to be
endogenous.

That makes little sense, as the whole point of A-B estimation (via xtabond, or xtabond2 from SSC) is to allow any RHS variable to be instrumented to deal with potential endogeneity. Furtrhermore the standard -bootstrap- really is not appropriate for time-series data; you should be using a block bootstrap. But there should be no need for bootstrapping in this context. See Roodman, "How to do xtabond2", at http://ideas.repec.org

Kit Baum
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