Re: st: how to do subsampling in stata

[László Sándor <sandorl@gmail.com>]

FWIW, the bsampling for -bootstrap- is done by -_loop_bs.ado-. I did
not venture to tweak these files, as there are quite a few options to
keep track of.

On the other hand, this does not look like hard-coded, optimized MPI C
code to my eye, so maybe a more adventurous soul could duplicate a
-_loop_ss.ado- and thus -subsampling- for us?

At least for simpler cases, if -sample- does not allow all the options
-bsample- does.

Thanks,

Laszlo

On Wed, Aug 14, 2013 at 2:14 PM, Stas Kolenikov <skolenik@gmail.com> wrote:
> Phil indicated (absolutely correctly) that -sample- implements
> sampling without replacement, which is what subsampling needs to use.
> You can use the mechanics of -post- or -simulate- to make subsampling
> work. I don't know whether there's a straightforward way to utilize
> the -bootstrap- output formatting to work with a file thus created.
> You can also try Jeff Pitblado's -bs4rw- where your replicate weights
> will be 0 and 1, with the total number of 1's equal to your b
> parameter of subsampling (in Politis, Romano and Wolf's notation). If
> you have a non-iid situation, then you may need to use specific tools
> to create the right patterns of 0s and 1s, but if you have iid data,
> then you simply simulate them with standard tools, such as (very
> inefficient due to multiple sorts)
>
> tempvar u
> gen `u' = .
> forvalues r=1/`R/ {
>   replace `u' = uniform()
>   sort `u'
>   gen wgt`r' = (_n <= `b' )
> }
> bs4rw , rw( wgt* ) : whatever
>
>
>
> -- Stas Kolenikov, PhD, PStat (ASA, 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 Wed, Aug 14, 2013 at 12:43 PM, László Sándor <sandorl@gmail.com> wrote:
>> Thanks, Phil.
>>
>> I am not sure I'd venture to hack -bootstrap- with replacing -bsample-
>> with -sample- on my own, while I think its MP optimization and other
>> features make the -bootstrap- prefix preferable to one's own
>> implementations of loops of -bsample-.
>>
>> That said, if "no replacement" is indeed not in -bootstrap-, it won't
>> be added any time soon, so there is nothing but the manual loops…
>>
>> But I forgot link to one existing Statalist entry on subsampling from
>> 4 (!) years ago already citing prestigious (though admittedly recent)
>> literature suggesting subsampling could be a good idea — e.g. for
>> matching estimators which were perhaps the biggest novelty in Stata
>> 13. So, where is the subsampling?
>> http://www.stata.com/statalist/archive/2009-04/msg00920.html
>>
>> Thanks!
>>
>> Laszlo
>>
>> On Wed, Aug 14, 2013 at 1:33 PM, Phil Schumm <pschumm@uchicago.edu> wrote:
>>> On Aug 14, 2013, at 11:15 AM, Phil Schumm <pschumm@uchicago.edu> wrote:
>>>> On Aug 14, 2013, at 10:58 AM, László Sándor <sandorl@gmail.com> wrote:
>>>>> I wonder why I found no comments, help files, FAQs, list entries on subsampling implemented in Stata. Isn't one of the sampling-bootstrapping commands fit to that too? Is the sampling without replacement the biggest difficulty?
>>>>>
>>>>> I would have thought a simple option could have been added to -bootstrap- long ago to achieve this.
>>>>>
>>>>> Or am I overlooking another simple solution?
>>>>
>>>>
>>>> I don't understand your question, but -search sample- brings up -bsample-, which is used by -bootstrap-.
>>>
>>>
>>> I'm sorry -- I read too quickly.  The command -sample- will draw samples without replacement, which you could use to construct the CI referenced in your post.
>>>
>>>
>>> -- Phil
>>>
>>>
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