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RE: st: bootstrap error - dynamic panel probit


From   "Liberini, Federica" <F.Liberini@warwick.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: bootstrap error - dynamic panel probit
Date   Wed, 11 May 2011 17:20:47 +0100

Hello, thanks for your reply. 
I did not show the program because, as I said, the program works on some dataset and doesn't on others. Also the commands in the program run outside of the program. 
Could it be the xtprobit regression included in the program the one giving troubles? 

I tried setting the trace on, but the output is very difficult to interpret (very very long). 
I'll try run the bootstrap noisily now. 
Any other suggestion? 

Many thanks
Federica


The following, is my entire code:

My program is:

program APEdisc_boot, rclass
xtset id  year
		* xtset the data
			
		*estimate dynamic probit
		#delimit ;
			xtprobit choice lagchoice 
					 var1
					 choicezero  var1bar, re from(b) ;
		#delimit cr				
		predict double xdh, xb	
				* double option for maximum precision
		gen double xdh0 = xdh - _b[lagchoice]*lagchoice
		gen double xdh1 = xdh0 + _b[lagchoice]
		replace xdh0 = xdh0 / sqrt(1+e(sigma_u)^2)
		replace xdh1 = xdh1 / sqrt(1+e(sigma_u)^2)
		gen double pe1 = normal(xdh1) - normal(xdh0)
		summarize pe1, meanonly
		return scalar ape_lagy=r(mean)
		drop xdh xdh0 xdh1 pe1
end
#delimit ;
	xtprobit choice lagchoice 
			var1
			choicezero  var1bar, re ;
#delimit cr				
mat b=e(b)

* Bootstrap within firms
tsset, clear
bootstrap r(ape_lagy), saving(ape_discr) reps(10) seed(123) cluster(id) idcluster(newid): APEdisc_boot
xtset id  year

program drop APEdisc_boot





-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Austin Nichols
Sent: 11 May 2011 17:10
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: bootstrap error - dynamic panel probit

Federica <F.Liberini@warwick.ac.uk>:
Presumably the problem is in your program, which you don't show.
Start with -set trace on-.
Have you seen Wooldridge's materials at
http://www.stata.com/meeting/snasug08/abstracts.html
(scroll down)?

On Wed, May 11, 2011 at 10:53 AM, Liberini, Federica
<F.Liberini@warwick.ac.uk> wrote:
> I am trying to estimate the APE from a dynamic panel probit model using
> Wooldridge's Method. When I try to bootstrap over the estimated APEs to
> simulate their SE, I get
>
> . bootstrap r(ape_tax), reps(10) seed(123) cluster(id) idcluster(newid):
> APEcont_boot
> (running APEcont_boot on estimation sample)
>
> Bootstrap replications (10)
> ----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
>   xxxxxxxxxx
> insufficient observations to compute bootstrap standard errors
> no results will be saved
> r(2000);
>
> please note: the program APEcont_boot is a program I wrote to estimate
> the APE. The program's routine works perfectly outside of the program,
> even when called twice in a row (there are no -generate-ed and
> un-drop-ped variables). Most importantly, the program and the bootstrap
> perfectly work on some dataset and get stuck on others (I was able to
> replicate an example from Wooldridge's textbook before applying the
> command on my dataset). Finally, changing the number of replications or
> changing the clustering options does not affect the outcome.
>
> Anyone knows how I could find out what exactly is causing this error
> message?

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