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Re: st: comparing coefficients and retrieve b from bootstrap


From   "G. Dai" <dgecon@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: comparing coefficients and retrieve b from bootstrap
Date   Fri, 12 Mar 2010 11:41:57 -0800

please,can anyone give some advice?

On Fri, Mar 12, 2010 at 11:02 AM, G. Dai <dgecon@gmail.com> wrote:

> the second has been solved, thanks.
>
>
> On Fri, Mar 12, 2010 at 9:23 AM, G. Dai <dgecon@gmail.com> wrote:
>
>> hi all,
>>
>> I'm interested in compare two coefficients from the  following two
>> regressions:
>> y=a0+a1*X1+a2*X2+ey
>> z=b0+b1*X1+b2*X3+ez
>> Under the idea case of OLS regression, I can use SURE regression to
>> achieve
>> efficiency and easily test whether a1=b1.
>>
>> Unfortunately, y is truncated in my data and z is a dummy and thus a
>> probit
>> will
>> be a better choice. Keep this in mind, I have to compare a1 and b1 form
>> the
>> regressions:
>> tobit y X1 X2 [pw=weight], ll(.) ul(.)
>> probit z X1 X3 [pw=weight]
>>
>> So, my FIRST question is can anyone give me some advices on how to perform
>> this coefficient
>> test?
>>
>> SECOND,  right now my idea is using bootstrap for each regression and
>> generate many estimates
>> of a1 and b1 and then use conventional test. However, to use the ttest, I
>> need to retrieve each estimate
>> from each replication and I don't know how to do it in STATA.
>>
>> THIRD, can anyone say something about this bootstrap idea? does it work or
>> not? I don't much about bootstrap.
>>
>> thank you all and any reply is highly appreciated.
>> regards,
>>
>> Guang
>>
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>>
>
>

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