Re: st: Computation Speed for Bootstrapping

[Benjamin Volland <volland@econ.mpg.de>]

Hi Danny,

your most easy option is to follow Jeph's second suggestion.
That is, run your estimation once on the full sample. Then use
- matrix b = e(b) - and then simply re-use the same matrix as starting
values for each bootstrap iteration, using the -from(b)- option in your 
-xtprobit- command.
You'll probably have to check whether this increases estimation speed
substantially using a small number of bootstrap interations, and simply 
compare the time with and without setting initial values.
If you want to use different starting values in each iteration (though I 
somehow fail to see the improvement given that each bootstrap iteration 
simply draws a new sample from the original data), i.e.
write your own bootstrap program, check the Sata FAQ from the UCLA on 
how to do it:
http://www.ats.ucla.edu/stat/stata/faq/ownboot.htm
Again, whether that substantially increases the speed of your estimation 
you would have to check.

Best, Ben


On 01/12/2011 23:41, Danny Dan wrote:
> Thank you so much for the answer Jeph. However, I do not know how to
> write the code as mentioned in your reply. If you can give me further
> insight that would be really helpful.
>
> Thanks once again.
>
> On Sun, Nov 27, 2011 at 10:06 AM, Jeph Herrin<stata@spandrel.net>  wrote:
> > One trick is to re-use the estimation from each model as the starting values
> > for the next one. So after calling xtprobit, save the matrix e(b) and then
> > use it with the -from(b)- option.
> >
> >    xtprobit ...
> >    matrix b=e(b)
> >    xtprobit ...., from(b)
> >
> > But to do this, I think you'll have to write your own bootstrap code (not
> > too difficult).
> > Or you may get by with using -bootstrap:-, if you reuse the same matrix for
> > each
> > bootstrap.
> >
> > Hope this helps,
> > Jeph
> >
> >
> >
> > On 11/26/2011 10:31 PM, Danny Dan wrote:
> > > Dear All,
> > >
> > > How to increase computation speed while generating standard errors
> > > using bootstrapping for panel data probit model (xtprobit,
> > > vce(bootstrap))?
> > >
> > > Reduction in the number of replications (reps()) is of no help.
> > >
> > > Please let me know.
> > >
> > > Thank you,
> > >
> > > Regards,
> > >
> > > Malini
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