I did tsset time variable and ran ivreg2 to check if it is working. It worked
fine. But doesn't seem to work when I try bootstrapping. It still says 'must
tsset data and specify timevar'.
thanks,
Vidya
>>> [email protected] 30/09/2004 16:39:53 >>>
Vidya,
ivreg2 needs to know about the time variable you are using in order
to handle autocorrelation. You would get this error even if you ran
one regression by hand - it's not related to bootstrapping.
Try preceding the call to ivreg2 with
tsset <your time variable>
and see what happens.
--Mark
Date sent: Thu, 30 Sep 2004 16:32:43 +0100
From: "Vidya Mahambare" <[email protected]>
To: <[email protected]>
Subject: st: bootstrap ivreg2
Send reply to: [email protected]
> Following Mark's reply I have now updated ivreg2 . Thanks.
>
> I am now trying to use -bootstrap- with ivreg2, but I keep getting the
> following error message.
>
> insufficient observations to compute bootstrap standard errors
> > no results will be saved
> > r(2000);
>
> I supplied -bootstrap- with the -noisily- option to find out what is
> the problem, which results in the error message -
>
> must tsset data and specify timevar
> captured error running (ivreg2 r (lagr leadrpixg leadgdpg=.......
>
> I would appreciate any ideas on this.
>
> Is there another way to bootstrap GMM estimates for time series in
> Stata?
>
>
> Thanks
> Vidya
>
>
>
>
>
>
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
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