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From |
"Stas Kolenikov" <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: bootstrap and XTIVREG2 |

Date |
Sat, 15 Sep 2007 09:36:35 -0500 |

On 9/14/07, Erasmo Giambona <e.giambona@gmail.com> wrote: > Dear Stas, > As you expected most of my results are unchanged. However, one of the > variable looses significance. The number of cluster that I have is > quite large (about 1600). Can it be bootstrapping is eliminating the > effect of some outliers? Well if anything bootstrap amplifies the outliers. Think about say inference on a sample mean of 9 values from uniform (0,1), and one sample value equal to 10. Then in 35% (=0.9^10) the outlier will be absent, and the mean will be around 0.5; in some 38%=(10 choose 1 * 0.9^9 * 0.1), it will be present once, so that the mean will be around 1.5; and in the remaining cases, the outlier will be resampled twice or more often, so you'll see the mean of some 2.5 or more. Out of blue sky, you've got a distribution with multiple modes, which may not be very close to the true distribution of the mean even if the original distribution was heavy tailed, as the distribution of the mean would probably be reasonably smooth. Also, the normal approximation for this distribution will be terrible, and 1.96 magic number won't work to give you the tail 5%. You could look into the -estat bootstrap- after all, to see how your confidence interval are doing, as that's where the bootstrap really gets an edge against symmetric things like the sandwich standard errors. Besides you would need to remember that anything you get out of sample is subject to sampling fluctuations and type I/II/III errors. If your variable was borderline with p-value of 3% with the sandwich standard errors, and now borderline 7% with the bootstrap standard errors, I wouldn't bother. To Austin: I am reading the wild cluster bootstrap paper, looks interesting, although I will suggest another 15 or so references to the authors :)). -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: Please do not reply to my Gmail address as I don't check it regularly. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: bootstrap and XTIVREG2***From:*"Erasmo Giambona" <e.giambona@gmail.com>

**References**:**Re: st: bootstrap and XTIVREG2***From:*"Erasmo Giambona" <e.giambona@gmail.com>

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