Re: st: RE: bootstrapping standard errors with several estimated regressors

["Erasmo Giambona" <e.giambona@gmail.com>]

Thanks Maarten. Unfortunately, I have not been able to find any good
reference on the issue. Anyone suggestions would be appreciated,
Erasmo

On 7/6/07, Maarten Buis <M.Buis@fsw.vu.nl> wrote:
> I have no direct answer for you, except that in the example below exactly the opposite happens. Not that I claim that this should be generally true.
>
> *------------- begin example ---------------
> sysuse auto, clear
> factor wei length headroom trunk, factors(1)
> predict si
> reg mpg si foreign
>
> drop si
> capture program drop boo
> program define boo, rclass
>        factor wei length headroom trunk, factors(1)
>        predict si
>        reg mpg si foreign
>        return scalar si = _b[si]
>        return scalar for = _b[foreign]
> end
>
> bootstrap si=r(si) for=r(for), reps(1000): boo
> *------------- end example --------------
>
> Hope this helps,
> Maarten
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Erasmo Giambona
> Sent: vrijdag 6 juli 2007 19:46
> To: statalist
> Subject: st: bootstrapping standard errors with several estimated regressors
>
> Dear Statalist users,
>  I am estimating a model which includes several estimated regressors
> and two observed regressors. Therefore, I am bootstrapping the
> standard errors. I had thought that bootstrapping would cause
> statistical significance for all regressors to go down. However, I
> noticed that statistical significance goes down for the estimated
> regressors go down while it actually goes up for the 2 observed
> regressors.
> Is this what the theory predicts. Is there a good reference that
> addresses this issue?
> Any help would be appreciated.
> Thanks very much,
> Erasmo
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