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From |
"Marco N. Anterpi" <anterpin@hotmail.it> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: bootstrap with mixed logit |

Date |
Fri, 27 Jan 2012 18:48:36 +0100 |

You are right about the standar errors for the different classes, especially with many classes.I try to re-express my problem. I would like to get summary statistics for the distribution of each coefficient and compute standard errors of these statistics. For example, I would like the standard errors for the mean of the coefficient of price. What I do is: bootstrap t=r(mean), rep(500): sum price However, I think I am making a mistake there. Thank you ---------------------------------------- > Date: Fri, 27 Jan 2012 12:06:35 -0500 > Subject: Re: st: bootstrap with mixed logit > From: skolenik@gmail.com > To: statalist@hsphsun2.harvard.edu > > I would not expect this work, as the class labels will always be > different in different bootstrap samples: what is class 1 in the > original sample may be class 3 in the first bootstrap subsample, and > class 4 in the second one, etc. With a single run, a permutation of > class labels is irrelevant, but matching the classes over repeated > runs, as is needed for the bootstrap, is extremely cumbersome. > Moreover, some smaller classes may disappear if they don't have enough > observations in a given bootstrap sub-sample. So I don't think the > bootstrap is a sensible method for this problem. > > On Fri, Jan 27, 2012 at 8:42 AM, Marco N. Anterpi <anterpin@hotmail.it> wrote: > > Hello everyone, > > > > I have an unbalanced panel with a binary dependent > > variable and I estimated a mixed logit model. However, I do not manage > > to compute the standard errors for the summary statistics with the > > command bootstrap. > > > > More in detail, I estimated a mixed logit model with 5 latent classes via EM algorithm, > > using the command: > > lclogit choice price income gender, group(ind) id(dec) nclasses(5) > > > > I can display the list of parameters > > (matrix B) and the probability of class membership (matrix P) and 5 > > variance-covariance matrices of the estimators ( v1 v2 v3 v4 v5 one for each class). > > > > My problem is that I do not manage to produce the standard errors > > for the summary statistics of the different variables and I am probably > > making a silly mistake in handling the data. > > > > Can anyone tell me the exact steps I should follow? > > -- > Stas Kolenikov, also found at http://stas.kolenikov.name > Small print: I use this email account for mailing lists only. > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: bootstrap with mixed logit***From:*"Marco N. Anterpi" <anterpin@hotmail.it>

**Re: st: bootstrap with mixed logit***From:*Stas Kolenikov <skolenik@gmail.com>

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