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st: Nonconvergence in subset of bootstrap samples doesn't show up in e(N_misreps)


From   Emilia Tjernström <etjernstrom@ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Nonconvergence in subset of bootstrap samples doesn't show up in e(N_misreps)
Date   Sat, 1 Sep 2012 22:27:09 -0700

Dear Statalist,

I am estimating a panel data quantile model, bootstrapping the
standard errors from -sqreg- using -bootstrap-. Some small portion of
the bootstrap replications fail to converge, and I believe that I need
to account for the failed replications when creating the bootstrapped
variance-covariance matrix. To my surprise, however, both e(N_reps)
and e(reps) after -bs- indicate that there are no incomplete
replications or missing results, respectively. [The reason that I'm
bootstrapping is that I need to draw households rather than individual
observations, to take into account the dependence of outcomes for a
given household  -- I'm following the approach to panel data quantile
estimation suggested in Abrevaya and Dahl (2008) "The Effects of Birth
Inputs on Birthweight." Journal of Business & Economic Statistics
26(4): 379–397.]

My plan was to use the number of completed reps (i.e. e(N_reps)) in
the last line of code below to account for any failed replications.
Here is some code:

--- (Using Stata 10)
* Bootstrapping
bs _b, rep($reps) noi cl(hhid) seed($seed) saving(`y'_sqreg, replace
double every(100)): sqreg `y' $xvars, quantile(.25 .5 .75) wlsiter(30)
reps(2)
local comp_reps = e(N_reps)
local failreps = e(N_misreps)
di "The nr of complete replications: " `comp_reps' " and incomplete
reps: " `failreps'
mat li e(reps)

* Obtaining var-cov matrix
(... using the data saved from the bootstrap)
matrix accum VCE_`y' = q*, deviations noconstant
matrix VCE_`y' = VCE_`y'/(`comp_reps'-1)
---

Despite some failures to converge, e(N_reps) always equals $reps,
e(N_misreps) always equals 0, and all the entries in e(reps) equal
$reps
Am I missing something? Is there a better way to count the number of
successful bootstrap replications?

Thank you very much for your time!
Emilia

--
Emilia Tjernström
PhD Candidate, UC Davis Agricultural and Resource Economics
http://www.are.ucdavis.edu/~emiliat/

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