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Re: st: R: bootstrapped p-values


From   "Richard Harvey" <richardharvey2008@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: R: bootstrapped p-values
Date   Fri, 5 Dec 2008 22:39:02 +0000

hi,

thanks nick and carlo..

I understand your point about the p value in the statout now. I am a
bit confused about some things i have read elsewhere

for example  the following

http://compdiag.molgen.mpg.de/ngfn/docs/2003/nov/Exercises_Bootstrap.pdf

discusses non parametric bootstrap on page 4 and on page 5 it talks about

"The two-sided p-values are now calculated by determining the
percentage of situation where the
absolute value of the test statistics calculated from the groups with
permutated values is at least
as large as the absolute value of the test statistics calculated from
the original groups."..

and the following page

westfall.ba.ttu.edu/Finance%20Pres.ppt

talks about something similar on page 11 and page 12

I am not what that means and how that is related to the stata p-value?
and the following page

westfall.ba.ttu.edu/Finance%20Pres.ppt

talks about something similar on page 11 and page 12

I am not what that means and how that is related to the stata p-value?

thanks
rich

2008/12/5 Carlo Lazzaro <carlo.lazzaro@tiscalinet.it>:
> Dear Richard,
> I would refer you to Stata Archives and recommend to take a look at Maarten
> Buis' and Martin Weiss' kind replies to one thread I have posted on 2008 Sep
> 6 (which was not so different from yours, as it would seem):
>
> st: z statistics in bootstrap output
>
> Kind Regards and enjoy your W-E,
> Carlo
> -----Messaggio originale-----
> Da: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Per conto di Richard Harvey
> Inviato: venerdì 5 dicembre 2008 18.40
> A: statalist@hsphsun2.harvard.edu
> Oggetto: st: bootstrapped p-values
>
> Hi,
>
> Could someone please explain how stata computes the bootstrap p-values?
>
> suppose i issue the following commands
>
> sysuse auto
> bootstrap t=r(t), rep(1000)  saving(bsauto, replace): ttest mpg==0
>
> i get
>
>
> Bootstrap results                                               Number
> of obs=        74
> Replications       =      1000
>
>
> Observed   Bootstrap            Normal-based
> Coef.   Std. Err.       z       P>z     [95% Conf. Interval]
>
> t    31.66644   2.900212        10.92   0.000     25.98213    37.35075
>
>
> how does stata compute the P>z?
>
> does it...
>
> look at the proportion of bootstrapped t-values which are less than or
> equal to the original t-value ( from
> ttest mpg==0) say x and the proportion of bootstrapped t-values which
> are greater than or equal to the original t-value ( from ttest mpg==0)
> say y then computes p as 2 min(x,y) ?
>
> --
> thanks for your time
> rich
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-- 
thanks for your time
rich

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