In response to my question, Jeff Pitblado wrote:
Carl Nelson <[email protected]> is using -bootstrap- (Stata 8
syntax) with
-xtabond2-, but all of the replications appear to be missing:
> I created the following do file to obtain bootstrapped
confidence intervals.
>
> program kuznets, rclass
> args lnSEC lnGDPC lnGDPC2
> tsset countrycode year
> xtabond2 lnSEC l1.lnSEC lnGDPC lnGDPC2, gmm(l1.lnSEC) iv
(lnGDPC lnGDPC2)
> gen kuz = exp(-_coef[lnGDPC]/(2*_coef[lnGDPC2]))
> return scalar x1 = kuz
> end
>
> bootstrap "kuznets" kuz, reps(25) cluster(countrycode)
idcluster(countryrs)
Nick Cox replied with a comment on the -reps()- option and
some other
suggestions.
Carl later mentioned he was using Stata 8 syntax, but has
Stata 9; so I'll
provide Stata 8 and Stata 9 solutions.
Here is how I would change Carl's -kuznets- program:
program kuznets, rclass
tsset newid year
xtabond2 lnSEC l1.lnSEC lnGDPC lnGDPC2, ///
gmm(l1.lnSEC) iv(lnGDPC lnGDPC2)
return scalar kuz = exp(-_coef[lnGDPC]/(2*_coef[lnGDPC2]))
end
Notice the variable 'newid'. This variable should identify
the resampled
panels uniquely, generated by the -idcluster()- option of -
bootstrap-. Also,
the new -kuznets- program returns the statistic of interest
in -r(kuz)-.
In Stata 8, Carl will have to generate the original copy of
the 'newid'
variable, then he can call -bootstrap- with the -idcluster
(newid)- and
-cluster(countrycode)- options.
. gen newid = countrycode
. bootstrap "kuznets" kuz = r(kuz), reps(25) idcluster(newid)
cluster(countrycode)
In Stata 9, -bootstrap- will automatically generate a copy of
the -cluster()-
variable when the -idcluster()- option is specified, thus
Carl can just call
-bootstrap-.
. bootstrap kuz = r(kuz), reps(25) idcluster(newid) cluster
(countrycode) : kuznets
If Carl continues to have trouble, try using the -noisily-
option to see what
error messages are being reported by the calls to -kuznets-.
I used the Stata9 solution and the noisily option with the
following result:
do leekuznets
. program kuznets, rclass
1. tsset newid year
2. args lnSEC lnGDPC lnGDPC2
3. xtabond2 lnSEC l1.lnSEC lnGDPC lnGDPC2, gmm
(l1.lnSEC) iv(lnGDPC lnGDPC2)
4. return scalar kuz = exp(-_coef[lnGDPC]/(2*_coef
[lnGDPC2]))
5. end
.
. bootstrap kuz = r(kuz), reps(200) idcluster(newid) cluster
(countrycode) noisily: kuznets
bootstrap: First call to kuznets with data as is:
. kuznets
panel variable: newid, 1 to 66
time variable: year, 1960 to 1990
Warning: Number of instruments may be large relative to
number of observations.
Arellano-Bond dynamic panel-data estimation, one-step system
GMM results
--------------------------------------------------------------
----------------
Group variable: newid Number of
obs = 1980
Time variable : year Number of
groups = 66
Number of instruments = 467 Obs per
group: min = 30
Wald chi2(3) =
49353.03 avg = 30.00
Prob > chi2 =
0.000 max = 30
--------------------------------------------------------------
----------------
| Coef. Std. Err. z P>|z|
[95% Conf. Interval]
-------------+------------------------------------------------
----------------
lnSEC |
L1. | .9473092 .0073076 129.63
0.000 .9329864 .9616319
lnGDPC | .249166 .1239591 2.01
0.044 .0062106 .4921214
lnGDPC2 | -.0116812 .0072525 -1.61 0.107 -
.0258957 .0025334
_cons | -1.523963 .5426993 -2.81 0.005 -
2.587634 -.4602916
--------------------------------------------------------------
----------------
Sargan test of overid. restrictions: chi2(463) = 943.38
Prob > chi2 = 0.000
Arellano-Bond test for AR(1) in first differences: z = -
13.36 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -
3.13 Pr > z = 0.002
--------------------------------------------------------------
----------------
Bootstrap replications (200)
repeated time values within panel
the most likely cause for this error is misspecifying the
cluster(), idcluster(), or
group() option
r(451);
end of do-file
r(451);
I have been working on this to help a PhD student in my class
who is trying to run
this model. When he told me of his problems I thought I could
find an easy fix.
But, the error above is the same error that the student first
approached me with.
I know that the model estimated above is poorly specified. I
will help the student
fix that later. The immediate question is why the bootstrap
command does not seem
to be working as expected.
I appreciate any help to resolve this puzzle.
Carl Nelson
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