[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: what's wrong witt bootstrap in seemingly unrelated regression

Subject   Re: st: what's wrong witt bootstrap in seemingly unrelated regression
Date   Sat, 07 Mar 2009 19:32:58 -0500

Thanks Jeff. That's great. Please inform me when the update is ready if it's convenient for you.


Quoting "Jeff Pitblado, StataCorp LP" <>:

Jingjing Li <> is using -bootstrap- with -sureg, isure- but
is getting the 'last estimates not found' error:

I am doing seemingly unrelated regression, using "sureg()()(),
const()isure". Since the number of my observations is very small, I am
tring to do it again with bootsrap method. Now I have two questions:

1. The first command I used was " bootstrap  _b, reps(500):
sureg()()(), const()isure". But it took such a long time, so I changed
reps(500) to reps(2) to have a try. At the end there is an error:
r(301), last estimations not found.

Then I dropped "isure", so the command becomes " bootstrap  _b,
reps(500): sureg()()(), const()". This time the results came out
quickly. Does that mean "bootsrtap" can't be used  with "isure"? Why?
Then how can I get the bootsrap results base on my origianl sureg with
"isure"? Since the coef. based on sureg with and without "isure" are
totally different.

2. I find the coef. after bootstraping are exactly the same as the
original regression. I am wondering if the only thing I should care
about is p value. If bootsrap p value is similar to the original one,
it means the original regression results based on small number of
observations is correct. Is it right?

Martin Weiss answered Jingjing's second point above, so I'll address the
first point.

-sure- appears unable to replay it's own results when the -isure- option is
specified.  We will fix this and have it ready in a future (probably the very
next) ado-file update.

*   For searches and help try:

*   For searches and help try:

© Copyright 1996–2021 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index