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st: Bootstrap with xtregar fails


From   wasis dat <vasja.sivec@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Bootstrap with xtregar fails
Date   Mon, 14 Jan 2013 19:40:27 +0100

Dear Statalist users,

I am unable to bootstrap regression coefficients in a panel with
autocorrelated residuals (command -xtregar). On the other hand I can
bootstrap the coefficients when I assume that there is no
autocorrelation in the residuals (command -xtreg):

> bootstrap "xtreg y x, fe" _b[x],  reps(500)         (works)
> bootstrap "xtregar y x, fe" _b[x],  reps(500)         (does not work...)

command:      xtregar y x , fe
statistic:    _bs_1      = _b[x]

Bootstrap statistics                      Number of obs    =     27380
                                                  Replications     =       100

------------------------------------------------------------------------------
Variable     |  Reps  Observed      Bias  Std. Err. [95% Conf. Interval]
-------------+----------------------------------------------------------------
   _bs_1 |     0 -13.37994    .         .          .          .   (N)
             |                                              .          .   (P)
             |                                              .          .  (BC)
------------------------------------------------------------------------------
Note:  N   = normal
       P   = percentile
       BC  = bias-corrected

insufficient observations to compute bootstrap standard errors
no results will be saved
r(2000);

I have tried different workaround methods but failed miserably. Has
anybody encountered a similar problem? I would be eternally grateful
for any kind suggestion.

Best, Vasja
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