Dear Jay V. and Nick C.,
Thank you for your kind responses!
I understand that bootstrap doesn't acknowledge the dependence
structure in the panel data. I do not have a clear cluster structure,
just a big panel. The reason why I would still like to use bootstrap
is because my y and x are generated regressors (both T and N are
large), and when y and x are generated regressors they can be
imprecisely estimated. The usual formulas for standard errors do not
account for this. This is why I attempted to bootstrap the standard
errors. Let me say that when ignoring autocorrelation in the residuals
and estimating a FE regression the bootstraped and the calculated
standard errors are practically equal. Of course I have residual
autocorrelation, so I wish to estimate with model with -xtregar. I get
results that are in accordance with my theory, but when presenting a
paper somebody might object that my y and x are generated and so my
standard errors and significance tests are not valid. I wish to avoid
this objection by rather estimating the standard errors using
bootstrap.
I hope that the above explanation is clear and makes sense. I would be
grateful If you could point me in the right direction (if there is on
of course).
Kind regards,
Vasja
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/
