bootstrap结果分析

jjjj6666 发表于 2014-3-26 20:10
directly sample from the data using "bsample"

谢谢  能否详细说明一下 按照个体对残差分组的命令和从分组后的样本中如何抽取观察值 实在是没琢磨明白  太感谢了！

you can use (using reg as an example and the x y are in data) bsample by writing a program

drop _all
use data
reg y x
predict xb
mat F=e(F)
predict r, r

cap prog drop bootsRegF
prog def bootsRegF, rclass

  preserve
  bsample
  gen new_y = xb+r
  * if treating x as fixed
  reg new_y x
  *reg y x
  return sca F = e(F)
  restore
end

simulate F=r(F), reps(250) : bootsRegF
bstat, stat(F)

jjjj6666 发表于 2014-3-27 23:17
you can use (using reg as an example and the x y are in data) bsample by writing a program

drop _ ...

你好 很感谢 利用您给出的命令 采用reg方法非常成功能得出P值  如果是用 xtabond2 的命令  试了一下 上面有些命令貌似就会出问题 尤其是到了simulate 这一步的时候 该怎么解决呢？

can you post your codes so other people can see where the problem may be?

jjjj6666 发表于 2014-4-1 19:43
can you post your codes so other people can see where the problem may be?

基本上跟你给出的命令是一样的 ，只是使用xtabond2 的命令 但是进行到simulate F=r(F), reps(250) : bootsXtregF  显示bootsXtregF command not found  
上图me_var=var-均值（按ID取均值）

the function bootsXtregF seems defined.

What happen if you just use the command

bootsXtregF

jjjj6666 发表于 2014-4-1 23:06
the function bootsXtregF seems defined.

What happen if you just use the command

上述是采用bootsXtabond2F命令的结果

上述是采用bootsXtregF的结果  采用summarize命令，发现观察值是0个  不知道怎么回事，希望您能帮忙解释下这两种现象！谢谢

it looks like the bootstrap sample is not correct.

you have panel data, so you cannot sample the observation directly, instead sample by panel, can you try if this work:

cap prog drop bootsXtregF
prog def bootsXtregF, rclass       

    preserve
    bsample, cluster(id) id(newid)
    tsset newid year
    gen new_lev = xb+ehat
    xtabond2 ???????  * your xtabond2 command here
    return sca F=e(F)
    restore
end

simulate F=r(F), reps(10) : bootsXtregF
bstat, stat(F)

jjjj6666 发表于 2014-4-3 08:45
it looks like the bootstrap sample is not correct.

you have panel data, so you cannot sample the ...

恩，我的是面板数据，这是我按照你给出的命令重新运行的程序，下面附上结果：

显示观察值个数为0   不知道怎么回事儿呢？

you commented cout "xtreg" in the program bootsXtregF, xtreg was not run in the bootstrap, that may be the problem.