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Re: st: Bootstrap after xtregar

From   Helene Ehrhart <>
Subject   Re: st: Bootstrap after xtregar
Date   Thu, 19 Mar 2009 11:08:24 +0100

Thank you Martin for your answer.
Since I saw that it is possible to use bootstrap after xtregar, I tried again with my database changing options. In fact with the default values for reps and size, it tells me that I don't have enough observations.

I have 255 observations so the bootstrap run when I specify :

bs, reps(250) size(40): xtregar equation, re

Since it then use a sample of only 40 observations, I am not sure that the results will be very reliable.. but at least I get bootstraped standard errors. Is there a kind of critical value on the minimal sample size that we should use in order to be sure that our results are fine?

Helene Ehrhart.
CERDI, France.

Quoting Martin Weiss <>:


Just try

use grunfeld, clear
xtset company time
bs _b:  xtregar invest mvalue kstock

and observe the result...

-------- Original-Nachricht --------
Datum: Thu, 19 Mar 2009 09:50:23 +0100
Von: Helene Ehrhart <>
Betreff: st: Bootstrap after xtregar


I am estimating an equation with xtregar in order to correct for the
autocorrelation but there is an estimated regressor in the equation so
I need to bootstrap the standard error of the coefficient.
However, the command bootstrap "xtregar equation, re"
_b[estimatedvar], reps(50) doesn't produce result.
It is as if this command is not suited for the xtregar estimator.
Somebody already raised this issue on the list but didn't get an
answer so I am wondering if somebody knows how to bootstrap after
If there is no command, is it possible to bootstrap programming several

Thanks in advance.

Hélène Ehrhart.
Centre for Studies and Research on International Development (CERDI)

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Martin Weiss
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72076 Tübingen

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