Re: st: how to do subsampling in stata

[Nick Cox <njcoxstata@gmail.com>]

The story of Knuth and TeX springs to mind somehow. He got annoyed
with the mathematical typesetting of one of his books, but reckoned
that the problem was programmable, yet that no one else was going to
do it, so he just needed to write the program himself. The project
took a decade of his life, or thereabouts, but many of us are in
permanent debt to him.

The link here may be that the problem is programmable but hitherto no
one else has done it, so you may need to write the program yourself.
The precedent is, however, alarming, even if you factor in that this
problem is easier, because we can be confident that Knuth is better
than any of us.
Nick
njcoxstata@gmail.com


On 15 August 2013 17:10, László Sándor <sandorl@gmail.com> wrote:
> 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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