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

["Martin Weiss" <martin.weiss1@gmx.de>]

<>

Since the bootstrap is concerned with the estimation of standard errors, it 
is natural that your coefs are unaffected. Still, you do have a point in 
that a boostrap of -sureg- does indeed end up in error 301

************
sysuse auto, clear
constraint 1 [price]foreign = [mpg]foreign
bootstrap  _b, reps(2): sureg (price foreign weight length) (mpg foreign 
weight) (displ foreign weight), isure const(1)
************

HTH
Martin
_______________________
----- Original Message ----- 
From: <jjc.li@utoronto.ca>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, March 07, 2009 8:05 PM
Subject: st: what's wrong witt bootstrap in seemingly unrelated regression


> 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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