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Re: st: can't reproduce bootstrap confidence intervals

From   "James Shaw" <[email protected]>
To   [email protected]
Subject   Re: st: can't reproduce bootstrap confidence intervals
Date   Tue, 18 Sep 2007 10:21:51 -0500

I ran into this problem myself.  It appears that -bootstrap- uses
-_pctile- (a built-in programmer command) to calculate the percentiles
used to define the limits of the bootstrap percentile and
bias-corrected percentile confidence intervals.  By default, -_pctile-
uses a different means from -centile- to calculate the percentiles. If you type

. _pctile bs1, p(2.5 97.5)
. return li

instead of

. centile bs1, centile(.025, .975)

then you should be able to reproduce the bootstrap bias-corrected
limits.  Conversely, typing

. _pctile bs1, p(2.5 97.5) altdef

should yield the same percentiles as -centile-.

What I cannot tell you is whether the default -pctile- method or the
-centile- method is more compatible with Efron's confidence interval
estimation procedure or whether it makes any real difference which
percentile method is used.

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