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Re: st: Bootstrapped Standard Errors


From   Danny Dan <danny2011dan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Bootstrapped Standard Errors
Date   Thu, 22 Mar 2012 12:22:55 -0500

Hello Professor Kolenikov,

I have seen your article in the Stata journal ("Resampling variance
estimation for complex survey data") and was also trying to use it in
my work. However, I am little confused about the use of the
appropriate weights in using your tool as because I am not using the
usual sampling weights as available in the raw data but using weights
generated after implementing a matching method.

I am trying to use weights that are generated after coarsened exact
matching (CEM). After running CEM matching it gives both CEM_STRATA
and CEM_WEIGHTS (where wt=1 for treated and some positive values for
the controls). My question is can I use CEM_WEIGHTS and CEM_STRATA in
using your tool?

Please let me know whether this would be appropriate.

Also for your information, I also have weights from my raw data
(Primary sampling unit and strata for variance estimation (VARPSU and
VARSTR)).

How shall I set the svy (-svyset-)? Shall I do the following as shown
in your example:

egen upsu = group(strata psu)
. svyset upsu [pw=finalwgt], strata(cstrata)

In my case, shall I replace finalwt with cem_weights and cstrata with
cem_strata and psu with varpsu.

Please let me know.

Thank you for your reply.

Best ,

Dan

On Wed, Mar 21, 2012 at 8:41 PM, Danny Dan <danny2011dan@gmail.com> wrote:
> Hello All,
>
> I have a question:
>
> I know that bootstrapping cannot be applied with weights, however, is
> there anyway in STATA that after doing a weighted regression (like
> regress `depvar' `indepvar' [weight=wt],  or, probit  `depvar'
> `indepvar' [weight=wt]) I can use bootstrapping option separately to
> generate the standard errors?
>
> I am asking this because I need to generate bootstrapped standard
> errors because of its unknown structure in my model. To be more
> precise, I am doing a 2-stage estimation and trying to use
> bootstrapping to generate standard errors in the 2nd stage.
>
> Please let me know if I am not clear with my question then I will try
> to clarify it further for the ease of comprehensibility.
>
> Please help.
>
> Thank you.
>
> Best,
>
> Dan
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