st: what's wrong witt bootstrap in seemingly unrelated regression

[jjc.li@utoronto.ca]

Dear all,

I am doing seemingly unrelated regression, using "sureg()()(),  
const()isure". Since the number of my observations is very small, I am  
tring to do it again with bootsrap method. Now I have two questions:

1. The first command I used was " bootstrap  _b, reps(500):  
sureg()()(), const()isure". But it took such a long time, so I changed  
reps(500) to reps(2) to have a try. At the end there is an error:  
r(301), last estimations not found.

Then I dropped "isure", so the command becomes " bootstrap  _b,  
reps(500): sureg()()(), const()". This time the results came out  
quickly. Does that mean "bootsrtap" can't be used  with "isure"? Why?  
Then how can I get the bootsrap results base on my origianl sureg with  
"isure"? Since the coef. based on sureg with and without "isure" are  
totally different.

2. I find the coef. after bootstraping are exactly the same as the  
original regression. I am wondering if the only thing I should care  
about is p value. If bootsrap p value is similar to the original one,  
it means the original regression results based on small number of  
observations is correct. Is it right?

Thank you very much!

Jingjing Li
U of T


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