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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: Re: st: Bootstrap with xtregar fails |

Date |
Tue, 15 Jan 2013 16:23:14 +0000 |

On Tue, Jan 15, 2013 at 4:18 PM, Austin Nichols <austinnichols@gmail.com> wrote: > Nick-- > Also "both T and N are > large" so there is some confusion on the part of the OP. > T is the # of time periods, and N is the number of panels AKA clusters > for this case. > > On Tue, Jan 15, 2013 at 10:48 AM, Nick Cox <njcoxstata@gmail.com> wrote: >> But Vasja said that he has just one panel... >> >> Nick >> >> On Tue, Jan 15, 2013 at 3:32 PM, Austin Nichols <austinnichols@gmail.com> wrote: >>> wasis dat <vasja.sivec@gmail.com>: >>> -bootstrap- does acknowledge the error dependence if you resample >>> clusters instead of obs, but you need to tell -xtregar- what to do >>> about resampled clusters. See e.g. >>> http://www.stata.com/statalist/archive/2006-11/msg00025.html or >>> http://www.stata.com/statalist/archive/2007-08/msg01135.html or >>> http://www.stata.com/statalist/archive/2011-04/msg01348.html or >>> http://www.stata.com/statalist/archive/2009-08/msg01584.html or >>> hundreds of other posts on the topic. In any case, the cluster-robust >>> SE implemented by -xtreg, robust- will deal with serially correlated >>> errors in a more robust way, so I don't see what you hope to gain from >>> -xtregar- (which gives you different estimates, ostensibly more >>> efficient, but tends to perform worse in simulations). >>> >>> webuse grunfeld, clear >>> xtset company time >>> cap prog drop bsxtar >>> prog bsxtar, eclass >>> xtset i time >>> xtregar invest mvalue kstock >>> end >>> bs, cluster(company ) idcluster(i):bsxtar >>> >>> >>> On Tue, Jan 15, 2013 at 9:45 AM, wasis dat <vasja.sivec@gmail.com> wrote: >>>> 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 >>>> bootstrap. >>>> >>>> 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, >>>> Vasja > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Fwd: Re: st: Bootstrap with xtregar fails***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**Re: Re: st: Bootstrap with xtregar fails***From:*wasis dat <vasja.sivec@gmail.com>

**Re: Re: st: Bootstrap with xtregar fails***From:*Austin Nichols <austinnichols@gmail.com>

**Re: Re: st: Bootstrap with xtregar fails***From:*Nick Cox <njcoxstata@gmail.com>

**Re: Re: st: Bootstrap with xtregar fails***From:*Austin Nichols <austinnichols@gmail.com>

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