Christian Thoeni <[email protected]> is using -vce(bootstrap)- with
-regress- and needs the -noconstant- to prevent an indicator variable from
being dropped due to collinearity:
> I have a problem with bootstrapping and the noconstant option.
> consider the following example:
>
> clear
> set obs 50
> gen byte group=3Dmod(_n,10)
> sort group
> gen byte country=3D0
> replace country=3D1 in 26/50
> gen y=3Duniform()
>
> xi, noomit: reg y i.country, noconstant cluster(group)
> reg y country_0 country_1, noconstant vce(boot, reps(10) cluster(group))
>
> the first regression includes all both dummies, while the second regres sion
> eliminates the dummy country_1. The reason for this is unclear to me. Is
> there a problem with the combination of noconstant and bootstrapping
> standard errors?
The -vce(bootstrap)- option is trying to report on variables that are removed
due to collinearity but isn't aware that the -noconstant- option was
specified. We will have this fixed in the next update to Stata 9.
Johan Hellstrom <[email protected]> replied that Christian could use
the -bootstrap- prefix to get around the problem in the mean time.
-----
Johan Hellstrom <[email protected]> also posted a program for use
with the -simulate- prefix to "simulate" what the -bootstrap- is doing:
> As a novice in Stata programming I wrote a short bootstrap program as an
> exercise from Cristian's question. I guess my code does the same thing as
> the bootstrap prefix (that was my intention by the way)? Does anyone have
> any corrections or comments?
>
> -----
> * Creating the dataset
> clear
> set obs 50
> gen byte group=mod(_n,10)
> sort group
> gen byte country=0
> replace country=1 in 26/50
> gen y=uniform()
>
> * Bootstrap program
> quietly xi, noomit: reg y i.country, noconstant cluster(group)
> matrix beta = e(b)
>
> capture program drop boot_noc
> program define boot_noc, rclass
> preserve
> bsample
> xi, noomit: reg y i.country, noconstant cluster(group)
> return list
> restore
> end
>
> simulate, reps(100) seed(12345): boot_noc
>
> bstat, stat(beta) n(50)
>
> estat bootstrap, all
Johan should move the -cluster(group)- option to -bsample-.
If Johan is interested in bootstrapping the clustered SEs or bootstrapping a
grouped estimator such as -xtreg- or -areg-, then the -idcluster()- option of
-bsample- should also be used.
The current example does not require the -idcluster()- option.
--Jeff
[email protected]
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