Jeff, Thanks for pointing out that -bootstrap - in Stata is not appropriate for
time series data. Is there an inbuilt way in Stata to do time series
bootstrapping?
Vidya
Dr Vidya Mahambare
B21, Cardiff Business School
Ph: 0044 29 2087 6407
>>> Jeff Pitblado 30/09/04 5:38 PM >>>
Vidya Mahambare <[email protected]> asks about using -bootstrap- with
-tsset- data:
> Many thanks for your suggestions. I have now tried tsset-ing the sample just
> before starting boostrapping. But it still gives the same message.
>
> Is there anyone else who has faced a similar problem with ivreg2?
The nonparametric bootstrap is not really appropriate with time-series
analysis. The sampling method used by the nonparametric bootstrap is not
compatible with autocorrelated data.
--Jeff
[email protected]
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