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Re: st: Block bootstrapping in quantile regression


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Block bootstrapping in quantile regression
Date   Mon, 16 Nov 2009 22:35:49 -0500

Thanks for the prompt response. Although the program works for the
case you posted, it doesn't work for my particular application,
because I have to include cluster-specific dummies (fixed effects)

sysuse nlsw88, clear
egen c=group(ind occ), label
drop if mi(c)
xi: bs, rep(20) cl(c) seed(4):iqr wage age grade i.c
Bootstrap replications (20)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
xxxxxxxxxxxxxxxxxxxx
insufficient observations to compute bootstrap standard errors
no results will be saved
r(2000);

I tried generating the dummy set before instead of using xi in the
estimation command, and It didn't work either

xi i.c
bs, rep(20) cl(c) seed(4):iqr wage age grade _I*

Finally, i thought it was because some incompatibilty between the
cluster() option in bootstrap and including the dummy set, but it is
not the case either

bs, rep(20) seed(4):iqr wage age grade _I*

Yet using the command without bootstrapping works fine

 xi: iqr wage age grade i.c

I looked at the trace of the command but it is not particularly
helpful. Could this be due to insufficient iterations for each
quantile regression in each step of the bootstrap? I tried adding a
wlsiter(100) option, but  it didn't work either.

Thank you !
_______________________
Jorge Eduardo Pérez Pérez
Joven Investigador
Facultad de Economía
Universidad del Rosario
Calle 14 #4-69 Bogotá, Colombia.
Tel: (571) 2970200 ext 7836



On Mon, Nov 16, 2009 at 9:13 PM, Austin Nichols <austinnichols@gmail.com> wrote:
> clear all
> program iqr, eclass
> version 10.1
>  if replay() {
>  syntax [anything] [, Level(real 95) ]
>  eret di, level(`level')
>  }
>  else {
>  qui {
> syntax [varlist] [, Q1(real .25) Q2(real 0.75) Level(real 95) *]
> gettoken depv vl:varlist
> tempname b1 b2 beta
> qreg `depv' `vl', quantile(`q1') `options'
> matrix `b1'=e(b)
> tempvar e1 e2
> g `e1'=e(sample)
> qreg `depv' `vl', quantile(`q2') `options'
> g `e2'=e(sample)&`e1'
> count if `e2'
> loc N=r(N)
> matrix `b2'=e(b)
> matrix `beta'=`b2'-`b1'
> ereturn post `beta', dep(`depv') e(`e2') obs(`N')
> eret local cmd="iqr"
>  }
> eret di, level(`level')
>  }
> end
> sysuse nlsw88
> egen c=group(ind occ), label
> drop if mi(c)
> bs, rep(20) cl(c) seed(4):iqr wage age grade
>
>
> 2009/11/16 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>:
>> Hi everybody
>>
>> I'm trying to estimate an interquantile range regression with
>> block-bootstrapped standard errors. I've a dataset of cities and
>> months and i'm trying to estimate a differences in differences model,
>> so i need the bootstraped s.e's to take into account the
>> within-cluster correlation. Computation of the regressions using iqreg
>> is VERY slow, so I tried something like
>>
>> program myqreg, eclass
>> version 11
>> syntax varlist  [, `options' Q1(real .25) Q2(real 0.75)]
>> gettoken depv vl : varlist
>> tempname b1 b2 beta
>> qui qreg `depv' `vl', quantile(`q1')
>> matrix `b1'=e(b)
>> qui qreg `depv' `vl', quantile(`q2')
>> matrix `b2'=e(b)
>> matrix `beta'=`b2'-`b1'
>> ereturn post `beta'
>> end
>>
>> glo seed=4020
>> bootstrap _b , rep(200) cluster(city) idcluster(icity) seed($seed):
>> myqreg lwage _Iciudad* _Iañomes* treatment
>>
>> However, it doesn't seem to work. Every bootstrap replication fails.
>>
>> Any suggestions? Thank you !
>
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