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Re: st: Problem with seed and bootstrap


From   Gary Longton <glongton@fhcrc.org>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Problem with seed and bootstrap
Date   Fri, 16 Sep 2005 14:12:02 -0700

Alejandro wrote:

I have a problem with a program that I wrote. For some
reason I can't replicate my standard errors results when
using bootstrap. I guess something is missing in the ado
that I wrote but I can't figure what it is. The program is
defined as eclass and the matrices b and V seem to be
working.
If I run the following do file
set seed 345478595
bs "myprogram x y z" _b
set seed 345478595
bs "myprogram x y z" _b

I get different standard errors each time. The same happens
when I use the syntax for Stata 9 (altough for some reason
it doesn't like the _b...).

bs x y z, seed(345478595):myprogram x y z
bs x y z, seed(345478595):myprogram x y z

Any ideas?
Alejandro,

An idea, though it may not be the problem in your particular program.

I have, on a couple of occasions, run into a reproducibility problem running simulations (given identical starting seed as in your case) - though I would expect that the same problem might occur with -bootsrap- under otherwise similar circumstances.

The problem has occurred in situations where the (1) calculation of results in the program, for a given sample, depend in some way on sort order, AND (2) when there is a -sort- or -bysort- in the program on a variable or combination of variables that doesn't uniquely distinguish observations. I.e., apparently there is some variability in the result of a -sort- on the same dataset when the values of the sort variables don't completely distinguish individual observations.

I've gotten around this by defining a unique observation identifier and including it as the last variable in the sort. I suspect this may also be the purpose of the -stable- option to -sort-, though I have not tried this as a solution in the situations where it has been a problem (I did not notice the -stable- sort option until sometime after dealing with the reproducibility problem).

- Gary


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