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st: Re: Question about programming using bootstrap


From   "R.E. De Hoyos" <redeho@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Question about programming using bootstrap
Date   Thu, 15 Sep 2005 16:25:35 +0100

Alejandro,

You can estimate the empirical standard errors the scalars your self using the bsample command.

I haven't try the following code but you can work along this lines:

local K=100 //Number of replications
local k=1
preserve
while `k'<=`K' {
bsample
foreach var of local varlist {
tempname mg`var'
scalar mg`var' = sg`var' - s`var'
tempname mg`var'`k'
matrix `mg`var'`k''=mg`var'
if `k'==1 {
matrix `mg`var'=`mg`var'`k''
}
if `k'>1 {
matrix `mg`var''=`mg`var''+`mg`var'`k''
}
restore, preserve
local k=`k'+1
}
local k=1
while `k'<=`K' {
if `k'==1 {
matrix se_mg`var'=(`mg`var'`k'' - (`mg`var''/`K'))'*(`mg`var'`k'' - (`mg`var''/`K'))
}
if `k'>1 {
matrix se_mg`var'=se_mg`var'+(`mg`var'`k'' - (`mg`var''/`K'))'* ///
(`mg`var'`k'' - (`mg`var''/`K'))
}
local k=`k'+1
}
matrix se_mg`var'=se_mg`var'/(`K'-1)
restore
}

I hope this helps,

Rafa
________________________
R.E. De Hoyos
Faculty of Economics
University of Cambridge
CB3 9DE, UK
www.econ.cam.ac.uk/phd/red29/

----- Original Message ----- From: "feldman" <feldman@primal.ucdavis.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, September 15, 2005 3:04 PM
Subject: st: Question about programming using bootstrap



Statalisters,
I have a question about how to bootstrap a set of variables
using a single
command. More specifically what I am interested in doing is
the following.
I create a program that estimates a scalar for a set of
variables defined
in varlist. I then want to bootstrap that program to obtain
the standard
errors of each one of the scalars. Nevertheless, I can't
find a way to tell
Stata to do this using a single command for bootstrap. Below
is the
relevant part of the code that I am using. I get the
bootstrapped standard
errors but in a very inefficient way because Stata repeats
the bs command
for each one of the variables in varlist and that can be
extremely time
consuming. I want to do this with a single bs command.

Thanks,
Alejandro

P.S. My apologies if this message is repeated. I sent it
before from another email account (twice) but it didn't
went through after more than 12 hours.
_______

program define desc
.
.
.
foreach var of local varlist {
scalar mg`var' = sg`var' - s`var'
}
.
.
.

foreach var of local varlist {
set seed  5432198
bs "desc `varlist' " mg`var'=mg`var' , rep(`rep')
level(`level')
}
_______________


Alejandro Lopez-Feldman
Ph.D. Candidate
UC DAVIS
Agricultural and Resource Economics

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