--- emanuele canegrati <[email protected]> wrote:
> I try to explain it better. My strategy is the following:
>
> 1. Estimating the actual distribution of my dependent variable
> (market returns); is kernel density the right solution for this?
>
> 2. Generating n random samples for market returns according to the
> actual distibution which I estimated at the previous point;
>
> 3. Performing panel regressions by using the randomly generated
> returns.
The bootstrap with panel data is a complicated subject. Unless you
really know what you are doing I would not go near there. Or you can go
to the Summer North American Stata Users Group meeting in Chicago on
July 24�25, and listen to what Stas Kolenikov has to say about this.
-- Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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