Re: st: Program syntax for svy bootstrap or bs4rw

[Mark McGovern <markemcgovern@gmail.com>]

Thank you very much for the suggestion, I will look again at cmp. The
point of this is to use interviewer effects for selection. There are
some alternative approaches, however they all involve a similar two
step procedure which would require a similar bootstrap for the
standard errors. I have added weights to the program commands, however
I must still be omitting something else. Error: "last estimates not
found" Any further thoughts would be appreciated.

webuse nmihs_bs
svyset _n [pweight=finwgt], bsrweight(bsrw1-bsrw5) vce(bootstrap)
singleunit(missing)

program define test1, eclass properties(svyb)
syntax [if] [pw iw] [, NULLOPT]
xi:reg age race [`weight'`exp']
capture drop re1
predict re1
xi:reg birthwgt re1 [`weight'`exp']
ereturn local cmd="test1"
end

svy : test1

Regards,

Mark

On Fri, Jun 22, 2012 at 3:35 PM, Stas Kolenikov <skolenik@gmail.com> wrote:
> Your program does not use the weights anywhere. It accepts them, as
> the -svy- requirements specify, but it just absorbs them without
> passing them on to the estimation commands. So it does run the same
> commands on the same data set, even though -svy bootstrap- does the
> best job it can in giving the right weights to you.
>
> In general, I would find it questionable that you make point
> predictions of the random effects and use them in any serious way
> later. The random effects must be integrated over, and you need to
> find a way to do that within your convoluted version of the Heckman
> model. May be you can cast this as a -cmp- model -- check David
> Roodman's work on that.
>
> On Fri, Jun 22, 2012 at 11:59 AM, Mark McGovern <markemcgovern@gmail.com> wrote:
>> Dear all,
>>
>> I am attempting to write a simple program for a bootstrap in which
>> predicted values (random effects) are estimated in a first stage and
>> then used in a heckman selection model in the second.
>>
>> This works fine when I use the standard bootstrap command, however I
>> am using survey data and would like to account for this with SVY as
>> discussed on this list previously.
>>
>> I have tried to meet the syntax requirements for SVY as outlined in
>> the programming manual, and have tried various additions but I am
>> having trouble with the program. I noted the discussion on
>> http://www.stata.com/statalist/archive/2011-03/msg01442.html and also
>> tried the bs4rw command. I would appreciate your advice. I am using
>> Stata 12 MP.
>>
>> Here is a simple illustration with the NHIMES data. I find that the
>> same sample is used in each bootstrap.
>>
>> I svyset the data and run the command (with just 5 replications for testing).
>>
>> webuse nmihs_bs
>> svyset _n [pweight=finwgt], bsrweight(bsrw1-bsrw5) vce(bootstrap)
>> singleunit(missing)
>>
>> program define test1, eclass properties(svyb)
>> syntax [if] [pw iw] [, NULLOPT]
>> xi:reg age race
>> capture drop re1
>> predict re1
>> xi:reg birthwgt re1
>> ereturn local cmd="test1"
>> end
>>
>> svy : test1
>>
>> bs4rw , rw(bsrw1-bsrw5) noisily: test1 [pweight=finwgt]
>>
>> Regards,
>>
>> Mark
>> *
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>
>
>
> --
> ---- Stas Kolenikov
> -- http://stas.kolenikov.name
> ---- Senior Survey Statistician, Abt SRBI
> -- Opinions stated in this email are mine only, and do not reflect the
> position of my employer
>
> *
> *   For searches and help try:
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*
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