Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: strange behavior of bootstrap over my ado file
From
Benjamin Villena <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: strange behavior of bootstrap over my ado file
Date
Sun, 28 Apr 2013 20:19:15 -0700 (PDT)
Dear Statalist,
I wrote an ado file which basically does the following
(1) Estimate a linear model - reg w x z -
(2) Generate a fitted value for w, let's call it w_hat
(3) Estimate a linear system of equations using
- reg3 ( y1 = x w_hat) ( y2 = x w_hat) ( y3 = x w_hat), 3sls -
My goal is to provide bootstraped standard errors that can correct for the sampling error introduced when I use w_hat.
While the ado file works fine if I run it for a single model estimation, it crashes when I use it with the bootstrap prefix.
The syntax of my program is a bit unusual. A typical command line looks like this
- newreg3 ( y1 = x #w) ( y2 = x #w) ( y3 = x #w) <w = x z>, 3sls -
The program interprets the sentence inside <> as the one for the generated regressor.
I also use # to mean that is the variable to be replaced by the first-stage fitted value.
The command line above works just fine. However, if I try to get bootstrapped errors, by doing
- bootstrap, reps(50); newreg3 ( y1 = x #w) ( y2 = x #w) ( y3 = x #w) <w = x z>, 3sls -
the program crashes.
The main problem seems to be that the bootstrap routine does not work well with my notation using <> to signal a first stage.
When looking at the code when running (using set trace on) I see that the bootstrap routine seems to introduce
a symbol "(" before "<". I have no idea how that "(" symbol gets in there. As I mention, it only happens when
I'm running a bootstrap routine. Standard estimation works fine.
It is something essentially flawed with my programming approach? I would appreciate any possible clue to solve this problem.
Thanks in advance,
Benjamin
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/