Bootstrapping of the standard kind pays no attention to the dependence
structure of panel data. Bootstrap plain and simple implies
independent observations. -xtregar- in contrast dos not.
Conversely, you would need to explain in a
paper|dissertation|thesis|book intended for any serious outlet (1)
what it is that you think you are doing when you combine -bootstrap-
and -xtregar- (2) why that makes sense.
I have no precise positive proposals for you, except that -xtregar-
provides a lot of output. If it's not enough, you could try plotting
data, predictions, residuals to see what extra insight they may
provide.
Nick
On Mon, Jan 14, 2013 at 6:40 PM, wasis dat <vasja.sivec@gmail.com> wrote:
> I am unable to bootstrap regression coefficients in a panel with
> autocorrelated residuals (command -xtregar). On the other hand I can
> bootstrap the coefficients when I assume that there is no
> autocorrelation in the residuals (command -xtreg):
>
>> bootstrap "xtreg y x, fe" _b[x], reps(500) (works)
>> bootstrap "xtregar y x, fe" _b[x], reps(500) (does not work...)
>
> command: xtregar y x , fe
> statistic: _bs_1 = _b[x]
>
> Bootstrap statistics Number of obs = 27380
> Replications = 100
>
> ------------------------------------------------------------------------------
> Variable | Reps Observed Bias Std. Err. [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> _bs_1 | 0 -13.37994 . . . . (N)
> | . . (P)
> | . . (BC)
> ------------------------------------------------------------------------------
> Note: N = normal
> P = percentile
> BC = bias-corrected
>
> insufficient observations to compute bootstrap standard errors
> no results will be saved
> r(2000);
>
> I have tried different workaround methods but failed miserably. Has
> anybody encountered a similar problem? I would be eternally grateful
> for any kind suggestion.
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