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From | wasis dat <vasja.sivec@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: Re: st: Bootstrap with xtregar fails |
Date | Tue, 15 Jan 2013 15:45:44 +0100 |
Dear Jay V. and Nick C., Thank you for your kind responses! I understand that bootstrap doesn't acknowledge the dependence structure in the panel data. I do not have a clear cluster structure, just a big panel. The reason why I would still like to use bootstrap is because my y and x are generated regressors (both T and N are large), and when y and x are generated regressors they can be imprecisely estimated. The usual formulas for standard errors do not account for this. This is why I attempted to bootstrap the standard errors. Let me say that when ignoring autocorrelation in the residuals and estimating a FE regression the bootstraped and the calculated standard errors are practically equal. Of course I have residual autocorrelation, so I wish to estimate with model with -xtregar. I get results that are in accordance with my theory, but when presenting a paper somebody might object that my y and x are generated and so my standard errors and significance tests are not valid. I wish to avoid this objection by rather estimating the standard errors using bootstrap. I hope that the above explanation is clear and makes sense. I would be grateful If you could point me in the right direction (if there is on of course). Kind regards, Vasja * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/