There is more in a special issue of Statistical
Science on the bootstrap a few years ago. Same
disclaimer on personal expertise.
1 George Casella, Introduction to the Silver Anniversary of the
Bootstrap, Statistical Science. Volume 18, Issue 2 (2003), 133-134.
2 Bradley Efron, Second Thoughts on the Bootstrap, Statistical Science.
Volume 18, Issue 2 (2003), 135-140.
3 A. C. Davison, D. V. Hinkley, G. A. Young, Recent Developments in
Bootstrap Methodology, Statistical Science. Volume 18, Issue 2 (2003),
141-157.
4 Peter Hall, A Short Prehistory of the Bootstrap, Statistical Science.
Volume 18, Issue 2 (2003), 158-167.
5 Dennis D. Boos, Introduction to the Bootstrap World, Statistical
Science. Volume 18, Issue 2 (2003), 168-174.
6 Rudolf Beran, The Impact of the Bootstrap on Statistical Algorithsm
and Theory, Statistical Science. Volume 18, Issue 2 (2003), 175-184.
7 Subhash R. Lele, Impact of Bootstrap on the Estimating Functions,
Statistical Science. Volume 18, Issue 2 (2003), 185-190.
8 Jun Shao, Impact of the Bootstrap on Sample Surveys, Statistical
Science. Volume 18, Issue 2 (2003), 191-198.
9 P. Lahiri, On the Impact of Bootstrap in Survey Sampling and
Small-Area Estimation, Statistical Science. Volume 18, Issue 2 (2003),
199-210.
10 Joel L. Horowitz, The Bootstrap in Econometrics, Statistical
Science. Volume 18, Issue 2 (2003), 211-218.
11 Dimitris N. Politis, The Impact of Bootstrap Methods on Time Series
Analysis, Statistical Science. Volume 18, Issue 2 (2003), 219-230.
12 Michael D. Ernst, Alan D. Hutson, Utilizing a Quantile Function
Approach to Obtain Exact Bootstrap Solutions, Statistical Science.
Volume 18, Issue 2 (2003), 231-240.
13 Douglas E. Soltis, Pamela S. Soltis, Applying the Bootstrap in
Phylogeny Reconstruction, Statistical Science. Volume 18, Issue 2
(2003), 256-267.
Nick
[email protected]
Steven Samuels
> 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.
> 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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