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Re: st: Re: what's wrong witt bootstrap in seemingly unrelatedregression
Yes, without -isure- bootstrap works well. However, much p value of
the Coef. become bigger than 0.05 which means not significant at 5%
level without -sure-, especially the coef of dummy variables.
I am thinking if the results don't change much after bootsrap without
isure, it means the small number of observations doesn't matter in my
case. So my results based on isure is also significant, even without
bootsrap test. Do you think so?
Quoting Martin Weiss <[email protected]>:
<>
Is -isure- indispensable for you? Seems that w/o it there is no problem...
************
sysuse auto, clear
constraint 1 [price]foreign = [mpg]foreign
bootstrap _b, reps(20): sureg (price foreign weight length) (mpg
foreign weight) (displ foreign weight),const(1)
************
HTH
Martin
_______________________
----- Original Message ----- From: <[email protected]>
To: <[email protected]>
Sent: Saturday, March 07, 2009 8:27 PM
Subject: Re: st: Re: what's wrong witt bootstrap in seemingly
unrelatedregression
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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