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Re: st: oheckman w/twostep - can I bootstrap for a Wald?
From
Trent Spaulding <[email protected]>
To
[email protected]
Subject
Re: st: oheckman w/twostep - can I bootstrap for a Wald?
Date
Tue, 9 Jul 2013 10:25:59 -0400
As a reference, I built the bootstrap test this way following page 176
of Chiburis and Lokshin's article in the Stata Journal:
http://www.stata-journal.com/sjpdf.html?articlenum=st0123
Does this appear valid or should I find a different approach?
On Mon, Jul 8, 2013 at 4:38 PM, Trent Spaulding
<[email protected]> wrote:
> Can anyone check me on this?
>
> What I am trying to get: Estimates of the Wald or LR tests.
>
> Details:
> - Ordered categorical variable has five levels.
> - Running a similar model on several outcome variables
> - I have not successfully got the FIML estimation to converge, so I am
> using twostep
>
> Question: Is the following providing me a Wald test (or reasonable substitute)?
>
> -------CODE--------
>
> capture program drop aepost
> program aepost, eclass
> tempname bb
> oheckman **model specifications*** twostep
> matrix `bb'= e(rho)
> ereturn post `bb'
> end
> bootstrap _b, reps(100) nowarn: aepost
> test rho0=rho1=rho2=rho3=rho4=0
>
> -------OUTPUT--------
>
> Bootstrap results Number of obs = 2275
> Replications = 100
>
> ------------------------------------------------------------------------------
> | Observed Bootstrap Normal-based
> | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> rho0 | -.2564272 .2127177 -1.21 0.228 -.6733463 .1604919
> rho1 | -.2837067 .1870317 -1.52 0.129 -.650282 .0828687
> rho2 | -.043747 .3578368 -0.12 0.903 -.7450943 .6576004
> rho3 | -.471063 .262215 -1.80 0.072 -.984995 .042869
> rho4 | -.6076915 .1845782 -3.29 0.001 -.9694582 -.2459249
> ------------------------------------------------------------------------------
>
> . test rho0=rho1=0
>
> ( 1) rho0 - rho1 = 0
> ( 2) rho0 = 0
>
> chi2( 2) = 4.14
> Prob > chi2 = 0.1264
>
> . test rho0=rho1=rho2=rho3=rho4=0
>
> ( 1) rho0 - rho1 = 0
> ( 2) rho0 - rho2 = 0
> ( 3) rho0 - rho3 = 0
> ( 4) rho0 - rho4 = 0
> ( 5) rho0 = 0
>
> chi2( 5) = 17.02
> Prob > chi2 = 0.0045
> *
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