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Re: st: Re: what's wrong witt bootstrap in seemingly unrelated regression
Hi Martin,
Thank you for your quick reply. So how could I do bootsrap with sureg?
Jingjing
引用 Martin Weiss <[email protected]>：
<>
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: <[email protected]>
To: <[email protected]>
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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