Re: st: how to do subsampling in stata

[Stas Kolenikov <skolenik@gmail.com>]

On Thu, Aug 15, 2013 at 12:12 PM, Phil Schumm <pschumm@uchicago.edu> wrote:
> On Aug 15, 2013, at 11:45 AM, László Sándor <sandorl@gmail.com> wrote:
>> Or of course, if StataCorp reading this is confident about how easy the transition from -bsample- to -sample- would be for a clone of -bootstrap-
>
> I'm not familiar with the literature on the subsampling, so what I'm about to say may not entirely apply here.  However, it is worth noting that a lot of what StataCorp does is not simply implementing estimators and methods, but is making sure that the theory behind them is sound, and that the various things users might do once the method is implemented in Stata are reasonable.  Thus, even though it might be fairly simple for a user to patch an existing command to accommodate a specific situation (for which they are willing to take full responsibility), it might take StataCorp longer to verify for themselves that the enhancement is really something with which they feel comfortable.

Of many other wonderful theoretical developments in statistics and
econometrics, why not (a) empirical likelihood and exponential
tilting? (b) block bootstrap for time series? (c) delete-k jackknife
for complex survey data? (d) degrees of freedom corrections in mixed
models? (e) tetrad analysis in latent variable models? and an endless
wish list follows. Each of these are well established in their
specific literature, but their use is required in a fairly limited
range of situations. It took Stata Corp about 10 years from seeing the
first user-written multiple imputation and generalized linear latent
variable and mixed model pacakges (-ice/mim- and -gllamm-, of course)
to the production versions of these (-mi-, -meglm- and -gsem-), and
these have three order of magnitude greater generalizability and
potential user base than subsampling (which is really called for in
weird situations with non-smooth estimators, so one needs to put a lot
of work to even produce such an estimator) or empirical likelihood
(which is asymptotically equivalent to the existing -gmm-, anyway).

That's a long introduction to say that I would not expect to see Stata
Corp working on this for the next three or so releases. If Laszlo's
needs are more urgent, he should start working on his own
implementation of subsampling. As I did with empirical likelihood :).

-- 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

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