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RE: st: which variables are in the model?
Austin - Thanks for the program - I think it does what I want, except that I don't know how to modify it for multi-equation models - I am using -xtintreg-. The reason I want to do my own resampling is so I can store the results of various postestimation tests as well as the coefficient estimates - I don't think this can be done with -bsample- or can it??
But here's some interesting related information:
1. Some estimation commands (such as -reg) put a zero in e(b) and in the corresponding row/col of e(V) for dropped variables:
. use tempxy,replace
. list
+---------------------------------------------------+
| x1 x3 x2 ord jsub y |
|---------------------------------------------------|
1. | .6626155 .1144872 1 1 1 3.151041 |
2. | .9553422 .0319636 1 2 1 3.634814 |
3. | .0448858 .2033171 1 3 1 1.745203 |
4. | .0059469 .3264349 1 4 1 2.375462 |
5. | .8823879 .028055 1 5 1 2.930055 |
|---------------------------------------------------|
6. | .1215118 .3980549 1 6 2 3.520828 |
7. | .2109612 .4117808 1 7 2 3.001019 |
8. | .2764275 .8295287 1 8 2 4.037796 |
9. | .9945256 .1112339 1 9 2 2.531682 |
10. | .0247447 .2123476 -1 10 2 -.3951531 |
|---------------------------------------------------|
11. | .438004 .6404216 1 11 3 5.10464 |
12. | .4283594 .5567459 1 12 3 4.025568 |
13. | .5472953 .2685844 1 13 3 4.074149 |
14. | .8322787 .2767156 1 14 3 3.607821 |
15. | .8315817 .9052416 1 15 3 5.359124 |
|---------------------------------------------------|
16. | .8530225 .2686222 1 16 4 3.704969 |
17. | .825601 .1173112 1 17 4 3.132042 |
18. | .4625225 .2903162 1 18 4 3.111456 |
19. | .3189178 .1972554 1 19 4 1.906721 |
20. | .8438753 .2923035 1 20 4 3.028733 |
|---------------------------------------------------|
21. | .25784 .163985 1 21 5 2.70085 |
22. | .5548028 .9409158 1 22 5 4.877477 |
23. | .0189341 .7003843 1 23 5 3.927349 |
24. | .0900813 .1553994 1 24 5 2.552598 |
25. | .4626715 .5168369 1 25 5 4.088204 |
+---------------------------------------------------+
. set seed 2
. bsample
. reg y x1 x2 x3
Source | SS df MS Number of obs = 25
-------------+------------------------------ F( 2, 22) = 19.87
Model | 9.32793315 2 4.66396657 Prob > F = 0.0000
Residual | 5.16267802 22 .234667183 R-squared = 0.6437
-------------+------------------------------ Adj R-squared = 0.6113
Total | 14.4906112 24 .603775465 Root MSE = .48442
------------------------------------------------------------------------------
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | 1.314839 .316374 4.16 0.000 .6587192 1.970958
x2 | (dropped)
x3 | 2.850627 .4876063 5.85 0.000 1.839394 3.861861
_cons | 1.73119 .2763216 6.27 0.000 1.158135 2.304246
------------------------------------------------------------------------------
. matrix b=e(b)
. matrix list b
b[1,4]
x1 x2 x3 _cons
y1 1.3148389 0 2.8506274 1.7311904
. matrix V=e(V)
. matrix list V
symmetric V[4,4]
x1 x2 x3 _cons
x1 .10009254
x2 0 0
x3 .05086045 0 .23775989
_cons -.0677765 0 -.10126528 .07635362
2. Other commands, such as -xtreg- omit the dropped variable altogether:
. xtreg y x1 x2 x3,i(jsub)
note: x2 dropped because of collinearity
Random-effects GLS regression Number of obs = 25
Group variable: jsub Number of groups = 5
R-sq: within = 0.6225 Obs per group: min = 3
between = 0.6109 avg = 5.0
overall = 0.6429 max = 8
Random effects u_i ~ Gaussian Wald chi2(2) = 35.75
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | 1.297074 .3251487 3.99 0.000 .6597945 1.934354
x3 | 2.970533 .5182017 5.73 0.000 1.954876 3.98619
_cons | 1.660674 .3234097 5.13 0.000 1.026802 2.294545
-------------+----------------------------------------------------------------
sigma_u | .35867633
sigma_e | .43705473
rho | .40244784 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. matrix b=e(b)
. matrix list b
b[1,3]
x1 x3 _cons
y1 1.2970743 2.9705331 1.6606738
. matrix V=e(V)
. matrix list V
symmetric V[3,3]
x1 x3 _cons
x1 .10572169
x3 .07207609 .26853298
_cons -.07469714 -.11799669 .10459381
3. -bootstrap- will replace the b-s with either zero or missing in the correct places, depending on the estimation command:
. set seed 1
. use tempxy,clear
. bootstrap _b _se,reps(10) saving(temp,replace): reg y x1 x2 x3
(running regress on estimation sample)
[output omitted]
. use temp
(bootstrap: regress)
. list
+---------------------------------------------------------------------------------------+
| _b_x1 _b_x2 _b_x3 _b_cons _se_x1 _se_x2 _se_x3 _se_cons |
|---------------------------------------------------------------------------------------|
1. | 1.13412 1.470973 2.631516 .4889599 .2358656 .1565407 .1714275 .1662199 |
2. | 1.100519 0 2.650493 1.947971 .3659971 0 .4398493 .3249288 |
3. | 1.364231 0 2.624209 1.754179 .2826795 0 .3054233 .2080303 |
4. | 1.285978 1.222668 3.640214 .0227035 .302239 .2025359 .3768025 .2385865 |
5. | 1.485684 1.33937 2.933218 .2845925 .3398912 .2594654 .3231137 .2800002 |
|---------------------------------------------------------------------------------------|
6. | .5283381 0 2.670116 2.295536 .4422649 0 .4391958 .3499087 |
7. | 1.347596 0 2.535224 1.790228 .3172289 0 .410283 .2234403 |
8. | .6168122 0 3.507943 1.717851 .2707498 0 .3651236 .2438983 |
9. | 1.408072 1.300479 3.158506 .1997824 .3280223 .2949357 .3938662 .324038 |
10. | 1.118752 1.454276 2.718001 .4542784 .3000017 .2176973 .2950346 .2380216 |
+---------------------------------------------------------------------------------------+
. set seed 1
. use tempxy,clear
. bootstrap _b _se,reps(10) saving(temp,replace): xtreg y x1 x2 x3,i(jsub)
(running xtreg on estimation sample)
[output omitted]
. use temp
(bootstrap: xtreg)
. list
+---------------------------------------------------------------------------------------+
| _b_x1 _b_x2 _b_x3 _b_cons _se_x1 _se_x2 _se_x3 _se_cons |
|---------------------------------------------------------------------------------------|
1. | 1.13412 1.470973 2.631516 .4889599 .2358656 .1565407 .1714275 .1662199 |
2. | 1.100519 . 2.650493 1.947971 .3659971 . .4398493 .3249288 |
3. | 1.358355 . 2.558118 1.786434 .2840586 . .3110124 .2124224 |
4. | 1.285978 1.222668 3.640214 .0227035 .302239 .2025359 .3768025 .2385865 |
5. | 1.494756 1.318489 2.683021 .3720039 .323136 .2589509 .3763045 .2972685 |
|---------------------------------------------------------------------------------------|
6. | .432989 . 2.613339 2.35052 .3316861 . .3222143 .3054636 |
7. | 1.516499 . 2.255655 1.816683 .3260674 . .4912441 .2706356 |
8. | .6168122 . 3.507943 1.717851 .2707498 . .3651236 .2438983 |
9. | 1.460641 1.150193 2.459682 .6032664 .2766109 .2542073 .3791084 .3345588 |
10. | 1.17154 1.403425 2.45474 .6109908 .3282752 .2051965 .3296678 .2692362 |
+---------------------------------------------------------------------------------------+
.
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