Re: st: bootstrapping results from more than one command

[Kaisa Kotakorpi <kaisa.kotakorpi@uta.fi>]

Stas, many thanks for your quick reply! This looks like something I 
should be able to implement, thanks a  lot!!
Best,
Kaisa

On 4.1.2011 17:10, Stas Kolenikov wrote:
> Terve,
>
> Kaisa Kotakorpi wants to collect the results of several estimation
> commands for the bootstrap purposes:
>
> On Tue, Jan 4, 2011 at 7:44 AM, Kaisa Kotakorpi<kaisa.kotakorpi@uta.fi>  wrote:
> > I'm trying to do the following: We are estimating a system of 8 demand
> > equations (QUAIDS), out of which we get 64 price elasticities for 18 000
> > households. We want bootstrapped estimates for the weighted averages  of
> > each of these 64 elasticities. We have written a programme that (i)
> > estimates the demand system; (ii) calculates the household-specific
> > elasticities and (iii) calculates the weighted averages of these
> > elasticities. At the end of the programme, we would thus have a separate
> > "mean" command (with option pweight) for each elasticity. (We cannot run
> > these within one "mean"-command, as we require different weights for each
> > mean; if we could use the same weights, we could estimate all means on one
> > line, in which case we would be able to produce them all at once).
> >
> > However, bootstrapping this programme will produce only what is in the e()
> > at the end of the programme, i.e. we will only get the last one of the 64
> > mean elasticities. Is there a way to store the rest of the elasticities, and
> > get them bootstrapped also? (What we really want repeated is the demand
> > system estimation, and all 64 elasticities follow from this.)
> I will write pseudo-Stata code to provide you some ideas. You need to
> fill in the details before it runs at all. Given that you've coded a
> sizeable project, I assume you'd be able to do that. Note that if you
> have panel or clustered data (and I imagine you do, as you utilize
> some weight manipulation, although of course you may have something
> reasonably close to SRS from your population register), you need to
> use special forms of the bootstrap, as described in my SJ 10(2) paper
> (-findit bsweights-). The plain vanilla -bootstrap- will give standard
> errors that will be too small by double digit per cent. If that is the
> case, you would also need to parse the weights and pass them to your
> estimation commands.
>
> Option 1: r() results and locals
>
> local explist
> forvalues k=1/64 {
>    local explist `explist' (el`k' : r(el`k') )
> }
>
> program define Wrapper1, rclass
>     EstimateDemandSystem
>     forvalues k=1/64 {
>        CalculateElasticity `k'
>        return el`k' = (calculated `k'-th elasticity)
>     }
> end
> * of Wrapper 1
>
> bootstrap `explist' : Wrapper1
>
> Option 2: e() results; note that this is not a proper estimation
> command, but just a wrapper to supply the -bootstrap- with what it
> needs.
>
> program define Wrapper2, eclass
>     EstimateDemandSystem
>     tempname b
>     forvalues k=1/64 {
>         CalculateElasticity `k'
>         if `k' == 1 {
>            matrix `b' = calculated `k'-th elasticity
>         }
>         else {
>            matrix `b' = `b', calculated `k'-th elasticity
>         }
>     }
>     ereturn post `b'
>     ereturn local cmd Wrapper2
>     * this is the convention for eclass commands, see [P] ereturn
> end
> * of Wrapper2
>
> bootstrap : Wrapper2

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