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Re: st: Bootstrap: Which standard errors to use?


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Bootstrap: Which standard errors to use?
Date   Mon, 8 Dec 2008 12:28:48 -0600

The second part of the table actually shows that the Hessian-based
standard errors of logit are biased down by some 10-20%, for whatever
reason. The average standard error for indlninc variable is 0.375,
while the bootstrap measure of variability is 0.483. The first one is
purely model-based, while the second one is more robust to various
model misspecifications. I'd be curious as to whether -logit ...,
robust- standard errors would be close to the bootstrap ones, in your
case.

On 12/8/08, Maarten buis <maartenbuis@yahoo.co.uk> wrote:
> --- "Supnithadnaporn, Anupit" <gtg065t@mail.gatech.edu> wrote:
>  > I am using bootstrap in my study and Stata reports 2 types of
>  > standard errors of beta: (1) bootstrap std. err. right to the
>  > observed coef. and (2) se shown in the second part of the table.
>  > They are quite different.
>
> <snip>
>
> > . local vehicle age lnodo peuro pasia pother
>  > . local owner black other
>  > . set seed 9999
>  > . bootstrap _b _se, reps(10000) saving("C:\data\logitBOOT2Abse.dta",
>  > replace): ///
>  >   logit tresimp indlninc `owner' `vehicle', robust
>
>
> The standard error in the second part is the standard error of the
>  standard error. Remember that the standard error is also an estimate,
>  so you can have sampling uncertainty around that too. The standard
>  error in the second part of your table tells you about the uncertainty
>  about the estimate of the standard error. So, it can be interesting too
>  look at it, but the standard error you are after is in the first part
>  of the table. Normally you would not ask for the second part of your
>  table (and exclude the -_se- from the -bootstrap- statement).
>
>  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 N515
>
>  +31 20 5986715
>
>  http://home.fsw.vu.nl/m.buis/
>  -----------------------------------------
>
>
>
>
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-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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