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| From | Stas Kolenikov <skolenik@gmail.com> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: oheckman w/twostep - can I bootstrap for a Wald? |
| Date | Tue, 9 Jul 2013 10:17:20 -0500 |
My gut feeling is that you can do this whole thing using David Roodman's award winning -cmp-, at least as an alternative FIML procedure. It has some learning curve, but once you figure it out, you won't run any non-standard multi-equation estimation problems other than through -cmp- :). -- Stas Kolenikov, PhD, PStat (SSC) -- Senior Survey Statistician, Abt SRBI -- Opinions stated in this email are mine only, and do not reflect the position of my employer -- http://stas.kolenikov.name On Tue, Jul 9, 2013 at 9:25 AM, Trent Spaulding <spauldingtj@appstate.edu> wrote: > 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 > <spauldingtj@appstate.edu> 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 >> * >> * 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/ > * > * 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/ * * 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/