Re: st: Bootstrap after xtregar

[Helene Ehrhart <Helene.Ehrhart@u-clermont1.fr>]

Thank you Martin for your answer.
Since I saw that it is possible to use bootstrap after xtregar, I  
tried again with my database changing options.
In fact with the default values for reps and size, it tells me that I  
don't have enough observations.

I have 255 observations so the bootstrap run when I specify :

bs, reps(250) size(40): xtregar equation, re

Since it then use a sample of only 40 observations, I am not sure that  
the results will be very reliable.. but at least I get bootstraped  
standard errors.
Is there a kind of critical value on the minimal sample size that we  
should use in order to be sure that our results are fine?

Helene Ehrhart.
CERDI, France.


Quoting Martin Weiss <Martin.Weiss1@gmx.de>:

> <>
>
> Just try
>
> use grunfeld, clear
> xtset company time
> bs _b:  xtregar invest mvalue kstock
>
> and observe the result...
>
> HTH
> Martin
> -------- Original-Nachricht --------
> > Datum: Thu, 19 Mar 2009 09:50:23 +0100
> > Von: Helene Ehrhart <Helene.Ehrhart@u-clermont1.fr>
> > An: statalist@hsphsun2.harvard.edu
> > Betreff: st: Bootstrap after xtregar
>
> > Statalisters,
> >
> > I am estimating an equation with xtregar in order to correct for the
> > autocorrelation but there is an estimated regressor in the equation so
> > I need to bootstrap the standard error of the coefficient.
> > However, the command bootstrap "xtregar equation, re"
> > _b[estimatedvar], reps(50) doesn't produce result.
> > It is as if this command is not suited for the xtregar estimator.
> > Somebody already raised this issue on the list but didn't get an
> > answer so I am wondering if somebody knows how to bootstrap after
> > xtregar?
> > If there is no command, is it possible to bootstrap programming several
> > loops?
> >
> > Thanks in advance.
> >
> > Hélène Ehrhart.
> > Centre for Studies and Research on International Development (CERDI)
> > France.
> >
> >
> > *
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>
> --
> Martin Weiss
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