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st: interpreting and extracting output from cqreg or other bootstrapped estimators


From   "Raymond Guiteras" <rpguiteras@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: interpreting and extracting output from cqreg or other bootstrapped estimators
Date   Fri, 4 Jul 2008 15:34:34 -0400

Hi Statalist,

I am using the --cqreg-- command for censored quantile regression from Ken
Chay's Berkeley website and am having some interpreting the output.

In particular, is the bias-corrected estimate equal to the "observed"
estimate or "observed"-"bias"? The Horowitz Handbook of Econometrics Chapter
(V5, Chap52) would suggest the latter (esp example 3.1).

If this is correct, how can I extract these results? --eret li-- seems to
return results from the last repetition of the --qreg-- estimation in the
bootstrap repetitions.

I suspect this betrays a more general lack of familiarity with bootstrapping
in Stata, so perhaps expertise with --cqreg-- specifically is not needed to
answer this question. I have also experimented with --clad-- from Stata
Technical Bulletin 58 and am experiencing some of the same difficulties.

Sample code follows.

Many thanks,

Raymond

----- sample code using cqreg ------

sysuse nlsw88.dta
save fake_nlsw88, replace
gen fake_wage = max(wage,4)
sum fake_wage, detail
compress
save fake_nlsw88, replace


cqreg fake_wage grade age, quantile(0.6) ll(4) dots


------- end sample code -----------


------ output when running the above in Stata 10.0 for Windows ---

. cqreg fake_wage grade age, quantile(0.6) ll(4) dots
............................................................................
........................

Initial sample size = 2246
Final sample size = 2117

Bootstrap statistics

Variable |   Reps   Observed       Bias   Std. Err.   [95% Conf. Interval]
---------+------------------------------------------------------------------
-
   grade |    100   .8756039  -.0174292    .050704    .7749961  .9762118
(N)
         |                                            .7776431  .9591758
(P)
         |                                            .8009594  .9764307
(BC)
---------+------------------------------------------------------------------
-
     age |    100   .0073803   .0124284   .0259035   -.0440179  .0587786
(N)
         |                                           -.0283723  .0686576
(P)
         |                                           -.0329161  .0533409
(BC)
---------+------------------------------------------------------------------
-
   const |    100  -4.431019   -.210878   1.240352   -6.892147 -1.969892
(N)
         |                                           -7.371184 -2.613133
(P)
         |                                           -7.289414 -2.472435
(BC)
----------------------------------------------------------------------------
-


------- end output ------


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