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From |
Gary Longton <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Problem with seed and bootstrap |

Date |
Fri, 16 Sep 2005 14:12:02 -0700 |

Alejandro wrote:

I have a problem with a program that I wrote. For someAlejandro,

reason I can't replicate my standard errors results when

using bootstrap. I guess something is missing in the ado

that I wrote but I can't figure what it is. The program is

defined as eclass and the matrices b and V seem to be

working.

If I run the following do file

set seed 345478595

bs "myprogram x y z" _b

set seed 345478595

bs "myprogram x y z" _b

I get different standard errors each time. The same happens

when I use the syntax for Stata 9 (altough for some reason

it doesn't like the _b...).

bs x y z, seed(345478595):myprogram x y z

bs x y z, seed(345478595):myprogram x y z

Any ideas?

An idea, though it may not be the problem in your particular program.

I have, on a couple of occasions, run into a reproducibility problem running simulations (given identical starting seed as in your case) - though I would expect that the same problem might occur with -bootsrap- under otherwise similar circumstances.

The problem has occurred in situations where the (1) calculation of results in the program, for a given sample, depend in some way on sort order, AND (2) when there is a -sort- or -bysort- in the program on a variable or combination of variables that doesn't uniquely distinguish observations. I.e., apparently there is some variability in the result of a -sort- on the same dataset when the values of the sort variables don't completely distinguish individual observations.

I've gotten around this by defining a unique observation identifier and including it as the last variable in the sort. I suspect this may also be the purpose of the -stable- option to -sort-, though I have not tried this as a solution in the situations where it has been a problem (I did not notice the -stable- sort option until sometime after dealing with the reproducibility problem).

- Gary

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**References**:**st: Problem with seed and bootstrap***From:*"feldman" <[email protected]>

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