Nick Cox wrote:
I'm sure Stas (and Jeff Pitblado) are right here.
However, do note that there is literature on special
bootstrapping methods for time series (see e.g. Politis _Statistical
Science_ 2003). The point is that Stata's
-bootstrap- implements none of these methods.
[Excerpted]
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I belive Nick is referring to
D. N. Politis, The impact of bootstrap methods on time series analysis.
_Statistical Science_ 18(2):219-230, 2003.
For those who are interested, you can download a pdf file of the article from
the author's Web site:
http://www.math.ucsd.edu/~politis/StatSci03.pdf
Stas Kolenikov might have already made such a recommendation in a related
thread, but in case he hasn't, does anyone have any recommendations for an
intermediate-level reference for those of us on the list who would like to be
aware of the various "how-to's," "you-can't-do-thats" and "watch outs" for
bootstrapping? I'm aware of several books, from introductory- to theoretical-
level, but does anyone have favorites to recommend?
Joseph Coveney
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