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st: local bootstrapping
From
Benjamin Villena <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: local bootstrapping
Date
Wed, 3 Oct 2012 11:14:44 -0700 (PDT)
Dear Statalist
I am trying to perform a local bootstrapping procedure that is as follows
- Consider a bandwidth b
- For every observation x=x0 in the sample, draw a random observation in the interval [x0-b,x0+b]
- Label this draw x0=x0j and estimate a model reg y x0j
- Repeat the procedure M times and compute average estimator, sd, and confidence intervals.
I have tried to program this by using a standard for-loop approachb (going from _n=1 to _n=_N), but its computational execution time is just too large
I'd appreciate a piece of advice on how to do this using mata, which usually means a more efficient procedure
Thank you
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