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From | Jaime Ruiz-Tagle <jaimeruiztagle@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Bootstrap not reporting observed coefficient as the mean of expression |
Date | Tue, 19 Apr 2011 09:52:59 -0400 |
Hi all, I found a problem in bootstrap, which is not reporting the "mean" of an expression as the "observed coefficient". Here comes an example where bootstrap gives the correct "observed coefficient" only when invoked through a user defined program. Hopefully somebody can help me since I'm very puzzled. Thanks, Jaime. // ////////////////////////////////////////// use http://www.stata-press.com/data/r11/auto, clear gen weight2=weight^2 regress mpg weight weight2 gear foreign gen derivative1 = (_b[weight] + 2*weight*_b[weight]) sum derivative1, detail // Using bootstrap with expression: bootstrap derivative = (_b[weight] + 2*weight*_b[weight]), reps(100) seed(1): regress mpg weight weight2 gear foreign // The "observed coefficient" is reported as -96.14374, but the mean is -99.07872 // Now using a user defined program that does the same as expression above capture pr drop myderivative program define myderivative, rclass version 11 tempname derivative2 quietly regress mpg weight weight2 gear foreign capture drop derivative2 gen derivative2 =_b[weight] + 2*weight*_b[weight] quietly summarize derivative2, meanonly scalar `derivative2' = r(mean) return scalar derivative2 = `derivative2' end bootstrap r(derivative2), reps(100) seed(1): myderivative // The "observed coefficient" is now reported as equal to the mean = -99.07872 // ////////////////////////////////////////// -- ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Jaime Ruiz-Tagle V. Profesor Centro de Microdatos, Departamento de Economía, Universidad de Chile Diagonal Paraguay 257, Torre 26, Oficina 1603 A Santiago - CHILE Tel: (56 2) 978 3586 / 978 3421 Fax: (56 2) 634 7342 jaimert@econ.uchile.cl ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/