Is Maarten Buis' -indeplist- from SSC what you seek?
Nick
[email protected]
Feiveson, Alan H. (JSC-SK311)
I have been running a self-programmed bootstrap resampling scheme using
-bsample- with one of the xt-regression models. For each iteration of
the bootstrap, I had been blissfully saving the coefficient estimates
using e(b) which was supposed to have 11 components. Then I discovered
that for some iterations, some model terms were dropped for
collinearity, so for example, b[1,6] in one iteration may not refer to
the same model term as b[1,6] in another iteration! Furthermore, if a
current iteration had only 10 terms, then referring to b[1,11] does not
produce an error, since b[1,11] contains the estimate from the last
iteration in which all terms were used, etc. To do the correct
bookkeeping, I need to know exactly which of the original set of 11
model terms were retained after each estimation. My question is how to
know this? There doesn't appear to be anything in -ereturn- that gives
me this information. It is true that e(rank) tells me how many terms
were used, but it !
doesn't say which of the 11 terms were dropped (if any).
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