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


From   Jaime Ruiz-Tagle <jaimeruiztagle@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Bootstrap not reporting observed coefficient as the mean of expression
Date   Tue, 19 Apr 2011 11:10:22 -0400

Thanks Charles,

If it was the case you mention, wouldn't it be also that increasing
the number of reps should change the "observed coefficient"?

I tried different number of reps getting that bootstrap standard error
changes (as expected), but the "observed coefficient" remains
unchanged at a value which is not the observed mean....

Any hint?

Jaime.


On Tue, Apr 19, 2011 at 10:42 AM, Charles Koss <hqtiger@gmail.com> wrote:
> I have run your code. Seems to me that your program myderivative is
> bootstrapping the standard error of the expression whereas the first
> procedure is boostrapping both the expression and corresponding
> standard error.
>
> Charles
>
> --
> Charles Koss
> http://charlesonnet.blogspot.com
>
> On Tue, Apr 19, 2011 at 8:52 AM, Jaime Ruiz-Tagle
> <jaimeruiztagle@gmail.com> wrote:
>> 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
>> ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
>>
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
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
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


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