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st: bootstrap validation and c statistics (help me please !)


From   "Hong, Sounman" <sounman_hong@hksphd.harvard.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: bootstrap validation and c statistics (help me please !)
Date   Tue, 24 May 2011 18:25:56 -0400

I need to validate my model. I heard that I need to do either by a cross-validation or a bootstrap. I have three questions.

1. What is the best statistics to report if I want to show that my model is validated using bootstrap? I read a paper that reported C statistics, although I have to study what that is. Do you recommend me reporting C statistics?

2. Does STATA have a code that generates a shrinkage factor? 

3. I wrote below my STATA code that performs bootstrap and get a C statistics. But I got an error and I don't know why. Please advise.

use bootstrap.dta, clear
logit DEPVAR BPA
estat concordance
matrix b = e(b)
capture program drop mysim
program define mysim, rclass
    use bootstrap.dta, clear
    bsample
    lroc BPA, nograph beta(b)
    return scalar c=r(c)
end
simulate c=r(c), reps(100): mysim


Thank you in advance. Any advice would be greatly appreciated.
-Sounman
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Sent: Tuesday, May 24, 2011 6:13 PM
To: Hong, Sounman
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