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Re: st: STATA: multivariate probit w/ bootstrap


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: STATA: multivariate probit w/ bootstrap
Date   Wed, 30 Apr 2008 21:42:40 +0100 (BST)

--- "Daniel R. Petrolia" <Petrolia@agecon.msstate.edu> wrote:
>   I am trying to bootstrap using either 'mvprobit' or 'triprobit',
> but have been unsuccessful with both.  Using 'mvprobit', the
> bootstrap "works" (i.e., there are no errors reported), but it is
> reporting and saving identical coefficients for each bootstrapped
> sample (which implies that it is running mvprobit over the same
> sample).  When I use 'triprobit', the bootstrap returns the error
> message "too few variables specified", although it does indeed run
> the bootstrap for the requested number of reps; however, it reports
> one set of coefficients on the first sample, then a different set of
> coefficients on the second and all subsequent samples. 

My speculation would be this: These commands have in common that they
estimate the parameters using simulated maximum likelihood. So, these
estimates are in part due to a random simulation, and may thus result
in different estimates each time the command runs. It may be that the
authors liked to make sure that someone gets the same estimates if he
or she repeatly runs the same model on the same data. The way to do
that is to internally set the seed. This would interfere with
-bootstrap- because now each bootstrap sample will be exactly the same,
as the seed is reset to the same number each time a new bootstrap
sample is created. 

The safest solution would be to contact the authors of these commands
to confirm that my speculation is correct, and if so, request that they
add an option, -noseed-, that will prevent these commands to set the
seed. 

Hope this helps,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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