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

Re: st: confidence intervals for locpoly

From   Maarten buis <[email protected]>
To   [email protected]
Subject   Re: st: confidence intervals for locpoly
Date   Mon, 25 Jan 2010 09:38:36 +0000 (GMT)

--- On Mon, 25/1/10, Sharooon wrote:
> I can't get the bootstrap to work with locpoly. 

If you are using a program that is not part of official Stata, then the
Statalist FAQ askes you to specify where you got. I am assuming you are
using the updated version that appeared in the Stata Journal 6(4) (,which
I found by typing -findit locpoly).

Below is an example on how to do that. However, you'll want to read up 
on whether the simple bootstrap is appropriate in your case, for example
Chapters 8 and 9 of Efron and Tibshirani (1993). Still, even if it 
doesn't produce meaningfull standard errors/confidence intervals, it can
be used to asses the stability of your estimates, as discussed by
Royston and Sauerbrei in the latest Stata Journal.

*----------------- begin example ------------------

sysuse auto, clear
locpoly mpg weight, nograph  /// 
        degree(3) width(500) ///
        generate(xgrid yhat_obs)

keep if xgrid <.
keep xgrid yhat_obs
tempfile tofill
sort xgrid
save `tofill'
gen id = _n
keep id xgrid
sort id
tempfile grid
save `grid'

forvalues i = 1/500 {
	qui {
		sysuse auto, clear
		gen id = _n
		sort id
		merge id using `grid'
		drop _merge
			locpoly mpg weight,      ///
			degree(3) width(500) ///
			generate(yhat`i')    ///
			at(xgrid) nograph
		keep if xgrid < .
		keep xgrid yhat`i'
		sort xgrid
		merge xgrid using `tofill'
		assert _merge == 3
		drop _merge
		sort xgrid
		save `tofill', replace
	_dots `i' 0
use `tofill'
egen lb = rowpctile(yhat? yhat?? yhat???), p(2.5)
egen ub = rowpctile(yhat? yhat?? yhat???), p(97.5)
twoway rarea lb ub xgrid || line yhat_obs xgrid
*------------------ end example ---------------------
( For more on how to use examples I sent to statalist see: )

Hope this helps,

Bradley Efron and Robert J. Tibshirani (1993) An Introduction to the 
Bootstrap. Boca Raton: Chapman & Hall/CRC.

Patrick Royston and Willi Sauerbrei (2009) Bootstrap assessment of the 
stability of multivariable models. The Stata Journal, 9(4): 547–570.

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index