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Re: st: Handling ologit convergence failure in bstrap


From   jpitblado@stata.com (Jeff Pitblado, Stata Corp.)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Handling ologit convergence failure in bstrap
Date   Thu, 19 Jun 2003 10:20:18 -0500

Mike Lacy <Michael.Lacy@colostate.edu> asks about convergence problems in
-ologit- when bootstrapping its estimation results:

> I am doing some bootstrapping experiments using OLOGIT . I have 
> deliberately chosen a skewed response variable (P = 0.1, 0.1, 0.1, 0.1, 
> 0.1, 0.6) and  6 covariates. The covariates are all scaled to the same 
> order of magnitude. Perhaps not surprisingly, at relatively smaller sample 
> sizes, (e.g., N = 100) , OLOGIT occasionally (say 1/100 reps) fails to 
> converge at any reasonable tolerance setting, and halts BSTRAP. It would be 
> nice if I could prevent this by tweaking the estimation process, but it 
> seems that the tolerance is the only thing I can change on the maximization 
> routine underlying OLOGIT. I presume but don't know that the routine is 
> simply reacting to a really degengerate distribution on the response 
> variable because leaving out some of the covariates doesn't seem to help. 
> If anyone has ideas for promoting convergence, that would be good, but I'm 
> not hopeful.

> Presuming the convergence problem is intractable:
> I would like to find a way for BSTRAP to continue,  simply ignore the 
> occasional failure to converge, and  to accumulate the results from the 
> reps that do converge.  Is there a  way this can be done?

It appears that Mike is using Stata 7 or earlier, based on his comment that
-bstrap- stops when -ologit- fails to converge.  If Mike is using Stata 7, I
would suggest using the -bs- command; it will post missing values if -ologit-
stops with an error.  Besides that, it has a better syntax and doesn't require
the user to write a program.  For example, suppose I wanted to bootstrap the
coefficients from an -ologit- fit, then my do-file would look something like
the following:

	. version 7
	. use auto, clear	/* assuming auto.dta is in the current dir */
	. set seed 1234
	. bs "ologit rep mpg weight" "_b[mpg] _b[weight]", reps(100)

In Stata 8, -bs- and -bstrap- are synonyms for the new -bootstrap- command.
-bootstrap- has an even more flexible syntax (similar to the -jknife- command)
along with other new options.  In Stata 8, my do-file would look like:

	. version 8
	. sysuse auto, clear
	. set seed 1234
	. bs "ologit rep mpg weight" _b, reps(100)

Where by -_b-, -bootstrap- (and thus -bs-) understand that to mean all the
elements of the coefficient vector -e(b)-.

If Mike is performing intermediate calculations after the -ologit- fit, he can
modify the program he wrote for the (Stata 7) -bstrap- command so that it
returns the results in -r()- (that is, Mike can turn his program into an
-rclass-).  Then he can refer to these results in the list of statistics for
the -bs- command.  Suppose I have a program called -mycalc-, and -mycalc-
places its result in -r(answer)-.  Then my do-file for bootstrapping the
results of -mycalc- would look something like

	. version 7
	. use auto, clear
	. set seed 1234
	. bs "mycalc rep mpg weight" "r(answer)", reps(100)

or something similar for Stata 8.

For more information on -rclass- programs, see [P] return.

Also see [R] bstrap in the Stata 7 manual set, [R] bootstrap in the Stata 8
manual set.

--Jeff
jpitblado@stata.com
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