Earlier today (Apr 7, 2004) Thi Minh asked
> I am now estimating a 2SLAD model, and follow the instructions given by
> Statacorp's Brian P. Poi in the statalist dated 26 Sep 2003. Is there a
> way to retrieve the p-value and the t-stat as they appear when using the
> command bsqreg? As Brian Poi explains, the s.e. need to be bootstrapped
> for _both_ stages of the estimation so that it is the command
> _bootstrap_ which needs to be used.
> program bootit2
> version 8.0
> //region 2 - stage 1
> reg Y2 X1 Z if reg7==2
> predict double phat2, xb
>
> //region 2 - stage 2
> qreg Y1 X1 phat2 if reg7==2
> drop phat2
> end
> bootstrap "bootit2" _b, reps (200) dots
In [R] -qreg- we give the following example of -bsqreg-:
sysuse auto, clear
set seed 1001
bsqreg price weight length foreign , reps(1000)
We can replicate the output table including t-statistics, p-values
and confidence intervals ourselves using -bootstrap- and -qreg-.
This code does just that:
set seed 1001
bootstrap "qreg price weight length foreign" _b, reps(1000)
// The following code should work after any call to
// -bootstrap-
matrix b = e(b)
matrix se = e(se)
local names : colnames(se)
local df = e(N) - colsof(b)
tempname t lb ub
local i = 1
foreach var of local names {
scalar `t' = (b[1, `i'] / se[1, `i'])
scalar `lb' = b[1, `i'] - se[1, `i']*invttail(`df', 0.025)
scalar `ub' = b[1, `i'] + se[1, `i']*invttail(`df', 0.025)
di "`var'" _col(15) %9.0g b[1,`i'] ///
_col(26) %9.0g se[1, `i'] ///
_col(38) %6.2f `t' ///
_col(46) %6.3f 2*ttail(`df', abs(`t')) ///
_col(56) %9.0g `lb' ///
_col(68) %9.0g `ub'
local i = `i' + 1
}
These results agree with -bsqreg-, since all we've really done is
replicate what -bsqreg- does automatically.
The same code that appears after my call to -bootstrap- can be used
any bootstrapping job, including bootstrapping the 2SLAD estimator
that Thi Minh mentioned.
Hope this helps
-- Brian Poi
-- [email protected]
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