--- "Roys, Nicolas A." <Nicolas_A_Roys@b...> wrote:
> I need to compute the variance of a moment.
> I have a panel data set with about 16000 firms and 6 years.
> I suppose I need to use bootstrap techniques.
>
> Here is what I want to do with STATA :
> - select Y subsets of X firms from my panel data set
> - compute the moment for each subset
> - compute the variance of this moment between the Y subsets
>
> So my questions are the following :
> - how to choose X ?
> - how to choose Y ?
> - Do somebody know a stata program doing what i want to do ?
>
Hi Nicolas,
If you typed -findit bootstrap- in Stata then you would have found the
-bootstrap- command in Stata.
However, your question suggest you do not fully understand the
principles behind bootstrap. Generally, bootstrapping does not mean
you create different subsamples, but that you create a new samples,
usually with the same number of observations, by sampling *with
replacement* from your original sample. A good and very clearly
written introduction is (Efron and Tibshirani, 1993).
HTH,
Maarten
Bradley Efron and Robert Tibshirani (1993) "An introduction to the
Bootstrap", Chapman & Hall.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
