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st: Bootstrapping panel data


From   Houdre C�dric <[email protected]>
To   <[email protected]>
Subject   st: Bootstrapping panel data
Date   Wed, 20 Apr 2005 17:27:15 +0200

Hi, 
i wrote a similar message this morning without having
 subscribed at the time so i might not have been
 through. Here was my problem:

I want to bootstrap estimates from a xtabond (dynamic
 panel estimation) procedure run on a pnel of firms.
Such a procedure requires to tsset the data first (that is 
specify the cross-section and the time dimensions.
Bootstrap procedure in Stata allow to sample firms (instead of just observations: firm x year) with the option 
cluster(firm_id).
It also allows to create a unique identifier for the resampled cluster with idcluster(new_firm_id).

The problem I have is that when I call 
bootstrap myprog, resp(n) cluster(..) idcluster(..)

with myprog beginning with a
tsset new_firm_id year

Stata seems to call myprog before having resampled
anything first... and therefore does not find the variable
new_firm_id...

Would you have any clue on this ?
Thanks a lot.

Cedric Houdre.

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