Sunday, April 28, 2013

Problems with bootstrap


Sometimes when you bootstrap a model in Stata, it gets stuck. This happens probably because in some iteration the model can't get fitted (in which case Stata may show "not concave" in the model fitting part). 

This is a nature of bootstrap -- conceptually, it is possible to obtain a data set with a single unique observation propagated _N times, in which no model would make any sense. To trim these awkward samples, you might want to explicitly specify the number of ML iterations in the program that is being called with -iter(50)-, say. Then upon reaching this number, it will declare that convergence was not achieved ( e(converged)==0 ), and -bootstrap- will omit this repetition marking it with an "x" in the dotted output.

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