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st: Bootstrap not reporting observed coefficient as the mean of expression


From   Jaime Ruiz-Tagle <jaimeruiztagle@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Bootstrap not reporting observed coefficient as the mean of expression
Date   Tue, 19 Apr 2011 09:52:59 -0400

Hi all,

I found a problem in bootstrap, which is not reporting the "mean" of
an expression as the "observed coefficient".

Here comes an example where bootstrap gives the correct "observed
coefficient" only when invoked through a user defined program.

Hopefully somebody can help me since I'm very puzzled.

Thanks,

Jaime.


// //////////////////////////////////////////
use http://www.stata-press.com/data/r11/auto, clear

gen weight2=weight^2

regress mpg weight weight2 gear foreign

gen derivative1 = (_b[weight] + 2*weight*_b[weight])
sum derivative1, detail

// Using bootstrap with expression:
bootstrap derivative = (_b[weight] + 2*weight*_b[weight]), reps(100)
seed(1): regress mpg weight weight2 gear foreign

// The "observed coefficient" is reported as -96.14374, but the mean
is -99.07872

// Now using a user defined program that does the same as expression above

capture pr drop myderivative
program define myderivative, rclass
	version 11
	tempname derivative2
	quietly regress mpg weight weight2 gear foreign
	capture drop derivative2
	gen derivative2 =_b[weight] + 2*weight*_b[weight]
	quietly summarize derivative2, meanonly
	scalar `derivative2' = r(mean)
	return scalar derivative2 = `derivative2'
end

bootstrap r(derivative2), reps(100) seed(1): myderivative

// The "observed coefficient" is now reported as equal to the mean = -99.07872

// //////////////////////////////////////////





-- 
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Jaime Ruiz-Tagle V.
Profesor
Centro de Microdatos, Departamento de Economía, Universidad de Chile
Diagonal Paraguay 257, Torre 26, Oficina 1603 A
Santiago - CHILE

Tel: (56 2) 978 3586 / 978 3421
Fax: (56 2) 634 7342
jaimert@econ.uchile.cl
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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