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| From | Nick Cox <njcoxstata@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: Re: st: Bootstrap with xtregar fails |
| Date | Tue, 15 Jan 2013 15:48:50 +0000 |
But Vasja said that he has just one panel... Nick On Tue, Jan 15, 2013 at 3:32 PM, Austin Nichols <austinnichols@gmail.com> wrote: > wasis dat <vasja.sivec@gmail.com>: > -bootstrap- does acknowledge the error dependence if you resample > clusters instead of obs, but you need to tell -xtregar- what to do > about resampled clusters. See e.g. > http://www.stata.com/statalist/archive/2006-11/msg00025.html or > http://www.stata.com/statalist/archive/2007-08/msg01135.html or > http://www.stata.com/statalist/archive/2011-04/msg01348.html or > http://www.stata.com/statalist/archive/2009-08/msg01584.html or > hundreds of other posts on the topic. In any case, the cluster-robust > SE implemented by -xtreg, robust- will deal with serially correlated > errors in a more robust way, so I don't see what you hope to gain from > -xtregar- (which gives you different estimates, ostensibly more > efficient, but tends to perform worse in simulations). > > webuse grunfeld, clear > xtset company time > cap prog drop bsxtar > prog bsxtar, eclass > xtset i time > xtregar invest mvalue kstock > end > bs, cluster(company ) idcluster(i):bsxtar > > > On Tue, Jan 15, 2013 at 9:45 AM, wasis dat <vasja.sivec@gmail.com> wrote: >> 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/