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Re: st: RE: Bootstrap error


From   Carl Nelson <chnelson@uiuc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Bootstrap error
Date   Thu, 04 May 2006 16:03:56 -0500

At 03:16 PM 5/4/2006, you wrote:
The first error is a Statalist
mistake: you appear to be using Stata 8 and not
telling us that.
My apologies. I am using Stata 9, but I am using the Stata 8 bootstrap syntax


More seriously, in your program [not "do file"]

program kuznets, rclass
        args lnSEC lnGDPC lnGDPC2
        tsset countrycode year
        xtabond2 lnSEC l1.lnSEC lnGDPC lnGDPC2, gmm(l1.lnSEC) ///
      iv(lnGDPC lnGDPC2)
        gen kuz = exp(-_coef[lnGDPC]/(2*_coef[lnGDPC2]))
        return scalar x1 = kuz
end

You do nothing with the results of -args-, so that can go.

I doubt you need to -tsset- every time, but you'd need to
check that.

There is no need to put a constant in a variable. It's poor style.

So, this looks more like

program kuznets, rclass
        tsset countrycode year
        xtabond2 lnSEC l1.lnSEC lnGDPC lnGDPC2, gmm(l1.lnSEC) ///
      iv(lnGDPC lnGDPC2)
        return scalar x1 = exp(-_coef[lnGDPC]/(2*_coef[lnGDPC2]))
end

Now what -bootstrap- should pick up is r(x1):

So your call should be more like

bootstrap "kuznets" r(x1), reps(25) cluster(countrycode)
idcluster(countryrs)
I tried the suggested change and obtained the following result:

do leekuznets

. tsset countrycode year
panel variable: countrycode, 1 to 66
time variable: year, 1960 to 1990

. program kuznets, rclass
1. args lnSEC lnGDPC lnGDPC2
2. xtabond2 lnSEC l1.lnSEC lnGDPC lnGDPC2, gmm(l1.lnSEC) iv(lnGDPC lnGDPC2)
3. return scalar x1 = exp(-_coef[lnGDPC]/(2*_coef[lnGDPC2]))
4. end

.
. bootstrap "kuznets" r(x1), reps(200) cluster(countrycode) idcluster(newid)

command: kuznets
statistic: _bs_1 = r(x1)

Bootstrap statistics Number of obs = 1980
N of clusters = 66
Replications = 200

------------------------------------------------------------------------------
Variable | Reps Observed Bias Std. Err. [95% Conf. Interval]
-------------+----------------------------------------------------------------
_bs_1 | 0 42843.02 . . . . (N)
| . . (P)
| . . (BC)
------------------------------------------------------------------------------
Note: N = normal
P = percentile
BC = bias-corrected

insufficient observations to compute bootstrap standard errors
no results will be saved
r(2000);

which is no change from my previous result.

And the direct call to bootstrap produces the following, which is the reason that I wrote the intermediate program.

bootstrap x1=exp(-_coef[lnGDPC]/(2*_coef[lnGDPC2])), reps(200) cluster(countrycode) idclu
> ster(newid) : xtabond2 lnSEC l1.lnSEC lnGDPC lnGDPC2, gmm(l1.lnSEC) iv(lnGDPC lnGDPC2)
(running xtabond2 on estimation sample)

Bootstrap replications (200)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
repeated time values within panel
the most likely cause for this error is misspecifying the cluster(), idcluster(), or
group() option

The low number of replications is just a test to get the code working.

Carl Nelson
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