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Re: st: RE: Bootstrapped Standard Errors


From   Danny Dan <danny2011dan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Bootstrapped Standard Errors
Date   Thu, 22 Mar 2012 12:30:36 -0500

Thank you so much Professor Millimet. I appreciate your answer to my
question. I will definitely see whether -svy bootstrap- works in my
case.

Thank you once again.

Best,

Dan

On Wed, Mar 21, 2012 at 9:20 PM, Danny Dan <danny2011dan@gmail.com> wrote:
> Thank you so much Professor Millimet. I appreciate your answer to my
> question. I will definitely see whether -svy bootstrap- works in my
> case.
>
> Thank you once again.
>
> Best,
>
> Dan
>
> PS: I am sending this e-mail personally to your e-mail account instead
> of posting it in the statalist as I want to keep my post open. I hope
> you will understand. Thank you once again.
>
>
>
> On Wed, Mar 21, 2012 at 8:49 PM, Millimet, Daniel <millimet@mail.smu.edu> wrote:
>> My understanding is that, in general, there is no issue with applying the bootstrap to data with weights assuming the bootstrap samples are drawn accounting for the weights.  This is necessary so that the bootstrap samples constitute random samples from the population (or are weighted samples with appropriate weights).  So, my sense is, no, you cannot try and manually bootstrap your two-step estimates unless you account for the weights appropriately when forming your bootstrap samples.
>>
>> That said, you should see the new command -svy bootstrap- in Stata.  I have not used it, but it looks like Stata has added a bootstrap option to handle survey weights.
>>
>> ****************************************************
>> Daniel L. Millimet, Professor
>> Department of Economics
>> Box 0496
>> SMU
>> Dallas, TX 75275-0496
>> phone: 214.768.3269
>> fax: 214.768.1821
>> web: http://faculty.smu.edu/millimet
>> ****************************************************
>>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Danny Dan
>> Sent: Wednesday, March 21, 2012 8:42 PM
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: Bootstrapped Standard Errors
>>
>> 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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