Re: Re: st: Bootstrap with xtregar fails

[Nick Cox <njcoxstata@gmail.com>]

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
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