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Re: st: Bootstrap with xtregar fails

From   "JVerkuilen (Gmail)" <>
Subject   Re: st: Bootstrap with xtregar fails
Date   Mon, 14 Jan 2013 15:06:55 -0500

On Mon, Jan 14, 2013 at 1:40 PM, wasis dat <> wrote:
> I have tried different workaround methods but failed miserably. Has
> anybody encountered a similar problem? I would be eternally grateful
> for any kind suggestion.

As Nick said, -xtregar- (which sounds like it should be the name of
someone's World of Warcraft character, not a Stata procedure ;) is
modeling a rather complex dependence structure. Clustered
bootstrapping can help a great deal so you bootstrap by clusters, but
it's really not for the kind of dependence that autocorrelated errors
imply, and from looking at the documentation -xtregar- isn't one of
the bootstrap friendly commands.

Looking on p. 484 of the manual they give the formulas and explain
what's going on, so you might be able to get the model into an
appropriate form by mean centering by each cluster and then using an
AR(1) model some other way.

Best I got, this isn't my area....

JVVerkuilen, PhD
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