Hi,
I think you can use bootstrapping by clusters. So if you have a firm id
that is same for all T time periods, then you can use
bsample #, cluster(firm_id)
where # = n< N. This will pick up the entire time series for any firm and
will resample firms with replacement.
Anirban
______________________________________
ANIRBAN BASU
Doctoral Student
Harris School of Public Policy Studies
University of Chicago
________________________________________________________________
On Mon, 14 Oct 2002, Patrice Yee Chong San wrote:
> Hi Listers,
>
> I have a balanced panel data of N=1130 firms over T=36 time periods and
> 15 explanatory variables. What I plan to do now is some sort
> of 'bootstrapping.
>
> I want to create a random sample of n<N firms with replacement in such
> a way that i also pick their entire corresponding time series at the
> same time. And also, i want to ensure that a particular firm can be in
> the sample more than once.
>
> The bstrp command in Stata only picks individuals/firms i from a
> particular period but i want to preserve the time structure of my data.
> I have been through the manuals and FAQ but cannot find anything on
> bootstrapping from panel data. The goal is to do my analyses on this
> sample and to repeat this over and over and then to compare results.
>
> Is there any way to do this? The solution is eluding me.
>
> Regards
> Patrice
>
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