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st: Re: st: Bootstrapp​ing standard errors of regression coefficien​ts whilst applying bysort command


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: st: Bootstrapp​ing standard errors of regression coefficien​ts whilst applying bysort command
Date   Sat, 28 Apr 2012 11:12:34 +0100

You have to bootstrap separate models separately. That means a loop in
this case.

Nick

On Sat, Apr 28, 2012 at 5:17 AM, George Murray
<george.murray16@gmail.com> wrote:
> Dear Statalist,
>
> I have a dataset with variables V0 V1 V2 V3 V4, where I am regressing
> V1 on V2, V3 and V4 for each value of V0 (so without bootstrapping,
> the command would be –bysort V0: reg V1 V2 V3 V4- to estimate a
> separate model for each value of V0), however I have not been able to
> come up with a command to compute the bootstrapped standard errors of
> the explanatory variables for each model. My first instinct was to run
> –bootstrap, reps(100) seed(1): bys V0: reg V1 V2 V3 V4-, however
> clearly this is not feasible (the error message is “bysort may not be
> used in this context r(199)”), and am yet to find an alternative. I
> also need to save (a) the bias-corrected standard errors of the
> constants and (b) the residuals, of each model. Is there a code that
> can produce these results in Stata?

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