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RE: R: st: RE: montecarlo simulations with actual distributions


From   Maarten buis <[email protected]>
To   [email protected]
Subject   RE: R: st: RE: montecarlo simulations with actual distributions
Date   Wed, 2 Jul 2008 16:07:04 +0100 (BST)

--- emanuele canegrati <[email protected]> wrote:
> I try to explain it better. My strategy is the following:
> 
> 1. Estimating the actual distribution of my dependent variable
> (market returns); is kernel density the right solution for this?
> 
> 2. Generating n random samples for market returns according to the
> actual distibution which I estimated at the previous point;
> 
> 3. Performing panel regressions by using the randomly generated
> returns.

The bootstrap with panel data is a complicated subject. Unless you
really know what you are doing I would not go near there. Or you can go
to the Summer North American Stata Users Group meeting in Chicago on
July 24�25, and listen to what Stas Kolenikov has to say about this.

-- Maarten


-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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