Hi everybody. A week or so ago Vidya Mahambare reported a problem
with bootstrapping and GMM using ivreg2.
It turns out the issue is not ivreg2, but any estimation using time
series operators.
An example:
use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta
tsset year, yearly
gen lunem=l.unem
gen l2unem=l2.unem
* These two ivreg2 command generate exactly the same output:
ivreg cinf (unem = l.unem l2.unem)
ivreg cinf (unem = lunem l2unem)
* This bootstrap works fine:
bootstrap "ivreg cinf (unem = lunem l2unem)" _b, reps(100) bca
* But this one dies:
bootstrap "ivreg cinf (unem = l.unem l2.unem)" _b, reps(100) bca
The output from the last command is reported below. Anyone have any
idea why this is so? I am not a bootstrap expert, so for all I know
this is expected behaviour and not a bug.
Cheers,
Mark
. bootstrap "ivreg cinf (unem = l.unem l2.unem)" _b, reps(100) bca
command: ivreg cinf (unem = l.unem l2.unem)
statistics: b_unem = _b[unem]
b_cons = _b[_cons]
Bootstrap statistics Number of obs = 47
Replications = 100
------------------------------------------------------------------------------
Variable | Reps Observed Bias Std. Err. [95% Conf. Interval]
-------------+----------------------------------------------------------------
b_unem | 0 -.4079928 . . . . (N)
| . . (P)
| . . (BC)
| . . (BCa)
b_cons | 0 2.447039 . . . . (N)
| . . (P)
| . . (BC)
| . . (BCa)
------------------------------------------------------------------------------
Note: N = normal
P = percentile
BC = bias-corrected
BCa = bias-corrected and accelerated
insufficient observations to compute bootstrap standard errors
no results will be saved
r(2000);
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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