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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: local bootstrapping |

Date |
Thu, 4 Oct 2012 10:04:31 +0200 |

On Wed, Oct 3, 2012 at 8:14 PM, Benjamin Villena wrote: > I am trying to perform a local bootstrapping procedure that is as follows > > - Consider a bandwidth b > - For every observation x=x0 in the sample, draw a random observation in the interval [x0-b,x0+b] > - Label this draw x0=x0j and estimate a model reg y x0j > - Repeat the procedure M times and compute average estimator, sd, and confidence intervals. Here is how I would start such a project. I would than worry about the observations that are at the corners such that x0-b or x0+b are outside the range of the data. Also I assumed that all observations are equally far apart and that there are no gaps. *-------------------------- begin example ----------------------- clear all program define mydraw qui { drop _all set obs 245 local b = 5 gen obsno = floor((`b'--`b' +1)*runiform() + (_n-`b')) tempfile todraw save `todraw' sysuse sp500 sort date gen obsno = _n merge 1:m obsno using `todraw', keep(match) nogen } end program define myboot tempname memhold tempfile results postfile `memhold' b cons using `results' nois _dots 0, title(Bootstrap) reps(`1') forvalues i = 1/`1' { mydraw capture { reg close volume post `memhold' (_b[volume]) (_b[_cons]) } noi _dots `i' `=_rc > 0' } postclose `memhold' use `results', clear sum centile, centile(2.5 97.5) end myboot 1000 sysuse sp500, clear reg close volume *--------------------------- end example ------------------------ (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) Also see <http://blog.stata.com/2012/08/29/using-statas-random-number-generators-part-3-drawing-with-replacement/> Hope this helps, Maarten --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**References**:**st: ivpois- received a coefficientfor for var. that wasn't specified***From:*"Anat (Manes) Tchetchik" <anatmanes@gmail.com>

**Re: st: ivpois- received a coefficientfor for var. that wasn't specified***From:*Austin Nichols <austinnichols@gmail.com>

**st: local bootstrapping***From:*Benjamin Villena <b_villena@yahoo.com>

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