bootstrap结果分析

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运用bootstrap对残差抽样 出现下面的问题 请教一下 是怎么回事儿呢？

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关键词：Bootstrap Bootstra boots 结果分析 boot

you didn't set data correctly for running xtreg

jjjj6666 发表于 2014-3-14 23:07
you didn't set data correctly for running xtreg

已经运用xtset对数据进行了面板数据设定

I just tried one fake data,

xtset id
bootstrap e(F), rep(10) :xtreg y x, fe

works fine

one question I had: when applying bootstrap to xtreg, do you need some options to differentiate that the same panel being sampled and should be treated as different panels in bootstrap?  

jjjj6666 发表于 2014-3-15 00:13
I just tried one fake data,

xtset id

想请教一下将残差按照个体分组后，如何抽选观察值呢？非常感谢！最近做论文需要检验门槛效应，感觉难度挺大！

I think that's correct, if you want to treat X as fixed, you have to bootstrap the residuals.  Basically in you data, you have residual and predicted Y (or if you want, the X variables), and then bootstrap the data, construct new y using the residual plus the predicted Y (or if using X, compute X'beta).  This is the same as regular bootstrap, the only difference is you need to construct the dependent variable, not bootstrap the dependent variable.

jjjj6666 发表于 2014-3-25 21:27
I think that's correct, if you want to treat X as fixed, you have to bootstrap the residuals.  Basic ...

谢谢  我貌似有些明白了  先尝试一下  非常感谢

jjjj6666 发表于 2014-3-25 21:27
I think that's correct, if you want to treat X as fixed, you have to bootstrap the residuals.  Basic ...

谢谢！但是我试了一下，还是有些问题想要请教 我已经回归得到了残差，但是如何按照个体对残差分组呢？能否告知具体的stata命令？还有就是从构造的实证分布中抽取样本观察值的stata命令，也就是上述两步如何在stata中实现呢？非常感谢！

directly sample from the data using "bsample"