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Re: Re: st: Bootstrap with xtregar fails

From   wasis dat <>
Subject   Re: Re: st: Bootstrap with xtregar fails
Date   Tue, 15 Jan 2013 15:45:44 +0100

Dear Jay V. and Nick C.,

Thank you for your kind responses!

I understand that bootstrap doesn't acknowledge the dependence
structure in the panel data. I do not have a clear cluster structure,
just a big panel. The reason why I would still like to use bootstrap
is because my y and x are generated regressors (both T and N are
large), and when y and x are generated regressors they can be
imprecisely estimated. The usual formulas for standard errors do not
account for this. This is why I attempted to bootstrap the standard
errors. Let me say that when ignoring autocorrelation in the residuals
and estimating a FE regression the bootstraped and the calculated
standard errors are practically equal. Of course I have residual
autocorrelation, so I wish to estimate with model with -xtregar. I get
results that are in accordance with my theory, but when presenting a
paper somebody might object that my y and x are generated and so my
standard errors and significance tests are not valid. I wish to avoid
this objection by rather estimating the standard errors using

I hope that the above explanation is clear and makes sense. I would be
grateful If you could point me in the right direction (if there is on
of course).

Kind regards,
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