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st: Bootstrap with xtregar fails
From
wasis dat <[email protected]>
To
[email protected]
Subject
st: Bootstrap with xtregar fails
Date
Mon, 14 Jan 2013 19:40:27 +0100
Dear Statalist users,
I am unable to bootstrap regression coefficients in a panel with
autocorrelated residuals (command -xtregar). On the other hand I can
bootstrap the coefficients when I assume that there is no
autocorrelation in the residuals (command -xtreg):
> bootstrap "xtreg y x, fe" _b[x], reps(500) (works)
> bootstrap "xtregar y x, fe" _b[x], reps(500) (does not work...)
command: xtregar y x , fe
statistic: _bs_1 = _b[x]
Bootstrap statistics Number of obs = 27380
Replications = 100
------------------------------------------------------------------------------
Variable | Reps Observed Bias Std. Err. [95% Conf. Interval]
-------------+----------------------------------------------------------------
_bs_1 | 0 -13.37994 . . . . (N)
| . . (P)
| . . (BC)
------------------------------------------------------------------------------
Note: N = normal
P = percentile
BC = bias-corrected
insufficient observations to compute bootstrap standard errors
no results will be saved
r(2000);
I have tried different workaround methods but failed miserably. Has
anybody encountered a similar problem? I would be eternally grateful
for any kind suggestion.
Best, Vasja
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