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st: Bootstrapping panel data with certain constraints

From   [email protected]
To   [email protected]
Subject   st: Bootstrapping panel data with certain constraints
Date   Fri, 9 Aug 2002 12:38:39 +0200

Dear list readers,

first of all thanks a lot for the replies to my bounding box problem. I now
even have two ado-files to chose from, which is really great support. I
hope you won't be bothered that the next question comes up immediately.

Right now I am working on an analysis of some panel data. Unfortunately,
the observations in each period can not be called independent in the
statistical sense. Observations (called "subjects") are organised in groups
(of 3 or 4 people), which are constant over time. Subjects within the
groups are dependent (because they strategically interact), but groups are
What I plan to do now is some sort of 'bootstrapping'. As I obviously
cannot include all observations at a time in regressions, I want to draw
random samples from my data in which only one subject of each group appears
at a time, and do my analyses on theses independent observations. The goal
is to repeat this over and over and then to compare results.

Now two questions on this:
1) After reading manuals and FAQ's and trying a bit around I could not find
a possibility to do this with Stata's bootstrap capabilities. I would be
very happy if someone knew a solution to this very special kind of
bootstrapping programming issue.
2) I talked to several econometricians on this subject, but they could not
really tell if this procedure gives valid results on point estimates and
confidence intervals. Any comments on those statistical issues are very
much appreciated.

Thanks a lot and best wishes,
Eva Poen
St. Gallen, Switzerland

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