```
#set the seed
if pseed
set seed pseed
endif
#estimate
panel y 0 X --quiet
#coefficients
matrix b = transp($coeff[2:])
#number of obs
scalar nT = $T
#cross-sectional units
scalar n = max($unit)
#time-series length
scalar T = $pd
#number of blocks
scalar k = ceil(T/l)
#number of coefficients
scalar nb = $ncoeff
scalar nb1 = nb - 1
#matrix of bootstrap coefficients
matrix bb = zeros(B,nb1)
#matrix of Studentized bootstrap statistic
matrix tt = zeros(B,nb1)
#from series to matrix
matrix M = {y}~{X}
#from long to wide
matrix MW = { }
loop o = 1..n --quiet
MW = MW~M[1+(o-1)*T:o*T,]
endloop
loop q = 1..B --quiet
#random block index
matrix i = round((T-l)*muniform(k,1))
#resampling
matrix MBW = { }
loop o = 1..k --quiet
scalar ik = i[o]
MBW = MBW | MW[ik+1:ik+l,]
endloop
MBW = MBW[1:T,]
#demeaning
MBW = MBW .- meanc(MBW)
#from wide to long
MB = { }
loop o = 1..n --quiet
MB = MB | MBW[,1+(o-1)*nb:o*nb]
endloop
#from matrix to series
series yy = MB[,1]
list xx = null
loop o = 2..nb --quiet
series xx$o = MB[,o]
list xx += xx$o
endloop
#estimate
catch ols yy xx --quiet
if $error
bb[q,] = b
matrix u = MB[,1] - sumr(MB[,2:nb] .* b)
else
bb[q,] = transp($coeff)
matrix u = { $uhat }
endif
#scores
matrix S = MB[,2:nb] .* u
matrix S1 = { }
loop o = 1..nb1 --quiet
#sum across unit
matrix s = sumr(mshape(S[,o],T,n))/n
matrix s1 = zeros(k,1)
loop m = 1..T --quiet
j = int((m-0.5)/l)+1
s1[j] += s[m]
endloop
s1 = s1 / sqrt(l)
matrix S1 = S1 ~ s1
endloop
B1 = (S1'*S1)/k
matrix A1 = nT*inv(MB[,2:nb]' * MB[,2:nb])
matrix C = transp(sqrt(diag(A1*B1*A1)))
#absolute value of the Studentized bootstrap statistic
tt[q,] = abs(sqrt(T)*((bb[q,]-b)./C))
endloop
#bootstrap variance estimator
matrix se = sqrt(T)*sdc(bb)
#symmetric bootstrap percentile-t confidence intervals
matrix ci = { }
loop foreach o 0.99 0.95 0.90 --quiet
matrix q = quantile(tt,$o)
matrix c1 = b - q .* se
matrix c2 = b + q .* se
matrix ci = ci | c1 | c2
endloop
#print output
printf "\nPanel Moving Blocks Bootstrap (MBB) for linear regression models with fixed effects\n"
printf "Bootstrap standard errors and symmetric bootstrap percentile-t confidence intervals\n"
printf "For references see: Goncalves, 2011\n"
printf "\n Bootstrap replications: %d\n", B
scalar avel = T/k
printf " Average block size: %g\n", avel
printf " \t\t\t\ts.e.\t\t\t1%% CI\t\t\t5%% CI\t\t\t10%% CI\n"
printf " ---------------------------------------------------------------------------------------------------------------------\n"
string parnames = strsub(varname(X),","," ")
loop for j = 1..nb1 --quiet
parname = strsplit(parnames,$j)
if strlen(parname) > 5
printf " %s\t", parname
else
printf " %s\t\t", parname
endif
printf "%.10g\t%.10g\t%10.8g %10.8g %10.8g %10.8g %10.8g %10.8g\n",b[j],se[j],ci[1,j],ci[2,j],ci[3,j],ci[4,j],ci[5,j],ci[6,j]
endloop
printf "\n"
#set output
bundle output
output["beta"] = bb
output["tstat"] = tt
return output
```