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Re: st: bootstrap with overlapping clusters
Nick, bootstrapping time series is a specialized topic not much
related to panel surveys-and it is a topic in which I am not expert.
In the book by Efron and Tibshirani (An Introduction to the
Bootstrap, 1993, Chapman and Hall), two methods are discussed: the
"moving blocks" method and bootstrapping residuals from the fit of a
time-series model. I know that the topic has come up before in
Statalist, without much of a useful answer. A Google search on
"bootstrap time-series" will show you some recent approaches. I'm
sorry I can't help you more.
Steve
On May 23, 2007, at 3:01 PM, [email protected] wrote:
I believe the goal of this bootstrapping exercise is to approximate
the
distribution of a certain statistic estimated from time series
financial
data (e.g. returns of stock XYZ). I don't actually know all of the
particulars; I am a research assistant. A cluster is defined as the k
previous observations, the current observation, and the k following
observations. So as we move through time, there will be substantial
overlap in the clusters. I know how to use the bootstrap cluster
options
to do this exercise with non-overlapping clusters, and I didn't
know if it
was possible to use Stata's built-in bootstrap to do the same thing
for
the overlapping case as well. I think the situation is in many ways
analogous to the panel study of households that you mention. I
will post
more details if I find out more specifics of the project.
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