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From |
"DL Millimet" <millimet@post.cis.smu.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: bootstrapping a regression |

Date |
Wed, 19 Feb 2003 13:31:08 -0600 |

it sounds like you have not posted the output correctly at the end of your program. you would probably have to post Y* for each observation, and therfore hand write this out in your code. if you just say post y*, i'm sure it is only saving y* from the first observation of each bootstrap repetition. perhaps someone knows a shortcut. -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Jesper Kühl Sent: Wednesday, February 19, 2003 12:00 PM To: statalist@hsphsun2.harvard.edu Subject: st: bootstrapping a regression Hi STATAlisters, I have been trying to bootstrap a regression (y=x'b+e), using "bstrap" and "bsample" and have encounters a puzzle. I am interested in the distributional statistics of the dependent variable y, and and thus estimate the regression for every botstrap sample, predict the 'bx'-part, and combine it with a random draw e* from the distribution of estimated residuals (e_hat = y - x'b_hat) to yield the bootstrap estimates for y, y* = b'x_hat + e*. (Hence this all goes into the bootstrap-program caled by "bstrap") Posting y* to "bstrap" then outputs me exactly B values (with mean, bias and st.e. for this distrib.). But here's my puzzle: "bstrap" draws B bootstrap samples of size N, but it only returns me B values for y* (# of obs in the "bstrap"-output file). Where have all the other prediction for y* gone? Following the above short theoretical outline, it should be predicting y*-values for every observation in all B bootstrap samples, i.e. every bootstrap sample should give a distribution of y*s (and that's what I am looking for). Hope some of you might be able to give me a hint! Cheers Jesper * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: bootstrapping a regression***From:*Jesper Kühl <jesper.kuhl@economics.oxford.ac.uk>

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