[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Erasmo Giambona" <e.giambona@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: bootstrap and XTIVREG2 |

Date |
Sat, 15 Sep 2007 14:41:12 -0400 |

Thanks very much Stas. The problem is that the estimate goes from a p-value of less than 0.01% to a p-value of 19% so I am in the dilemma of trying to figure out which is most reliable. I would truly appreciate a little bit more of your time. Below you suggest to look at the confidence intervals. Are you suggesting to compare the bootstrap intervals with the sandwich intervals? Would it make sense to check what happens if I increase my repetitions from 1000 to say 5000 given that I have more than 1600 clusters? I would appreciate any further comments on this. Erasmo On 9/15/07, Stas Kolenikov <skolenik@gmail.com> wrote: > 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/ > * * 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:*"Stas Kolenikov" <skolenik@gmail.com>

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

**Re: st: bootstrap and XTIVREG2***From:*"Stas Kolenikov" <skolenik@gmail.com>

- Prev by Date:
**st: Random parameters probit** - Next by Date:
**st: xtlogit fe autocorrelation and residuals** - Previous by thread:
**Re: st: bootstrap and XTIVREG2** - Next by thread:
**Re: st: bootstrap and XTIVREG2** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |