Hi,
Could someone please explain how stata computes the bootstrap p-values? suppose i issue the following commands sysuse auto bootstrap t=r(t), rep(1000) saving(bsauto, replace): ttest mpg==0 i get Bootstrap results Number of obs= 74 Replications = 1000 Observed Bootstrap Normal-based Coef. Std. Err. z P>z [95% Conf. Interval] t 31.66644 2.900212 10.92 0.000 25.98213 37.35075 how does stata compute the P>z? does it... look at the proportion of bootstrapped t-values which are less than or equal to the original t-value ( from ttest mpg==0) say x and the proportion of bootstrapped t-values which are greater than or equal to the original t-value ( from ttest mpg==0) say y then computes p as 2 min(x,y) ? -- thanks for your time rich * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ |
No.
Look at the results Stata is giving you: you can reconstruct with -display- the calculation that z = coef / se = 31.66644 / 2.900212 = 10.92 (2 d.p.). Then it's a matter of looking up P for z as a unit Gaussian, in this example a mind-blowingly small value. That's why it says "Normal-based". Nick [hidden email] Richard Harvey Could someone please explain how stata computes the bootstrap p-values? suppose i issue the following commands sysuse auto bootstrap t=r(t), rep(1000) saving(bsauto, replace): ttest mpg==0 i get Bootstrap results Number of obs= 74 Replications = 1000 Observed Bootstrap Normal-based Coef. Std. Err. z P>z [95% Conf. Interval] t 31.66644 2.900212 10.92 0.000 25.98213 37.35075 how does stata compute the P>z? does it... look at the proportion of bootstrapped t-values which are less than or equal to the original t-value ( from ttest mpg==0) say x and the proportion of bootstrapped t-values which are greater than or equal to the original t-value ( from ttest mpg==0) say y then computes p as 2 min(x,y) ? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ |
In reply to this post by Richard Harvey
Dear Richard,
I would refer you to Stata Archives and recommend to take a look at Maarten Buis' and Martin Weiss' kind replies to one thread I have posted on 2008 Sep 6 (which was not so different from yours, as it would seem): st: z statistics in bootstrap output Kind Regards and enjoy your W-E, Carlo -----Messaggio originale----- Da: [hidden email] [mailto:[hidden email]] Per conto di Richard Harvey Inviato: venerdì 5 dicembre 2008 18.40 A: [hidden email] Oggetto: st: bootstrapped p-values Hi, Could someone please explain how stata computes the bootstrap p-values? suppose i issue the following commands sysuse auto bootstrap t=r(t), rep(1000) saving(bsauto, replace): ttest mpg==0 i get Bootstrap results Number of obs= 74 Replications = 1000 Observed Bootstrap Normal-based Coef. Std. Err. z P>z [95% Conf. Interval] t 31.66644 2.900212 10.92 0.000 25.98213 37.35075 how does stata compute the P>z? does it... look at the proportion of bootstrapped t-values which are less than or equal to the original t-value ( from ttest mpg==0) say x and the proportion of bootstrapped t-values which are greater than or equal to the original t-value ( from ttest mpg==0) say y then computes p as 2 min(x,y) ? -- thanks for your time rich * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ |
hi,
thanks nick and carlo.. I understand your point about the p value in the statout now. I am a bit confused about some things i have read elsewhere for example the following http://compdiag.molgen.mpg.de/ngfn/docs/2003/nov/Exercises_Bootstrap.pdf discusses non parametric bootstrap on page 4 and on page 5 it talks about "The two-sided p-values are now calculated by determining the percentage of situation where the absolute value of the test statistics calculated from the groups with permutated values is at least as large as the absolute value of the test statistics calculated from the original groups.".. and the following page westfall.ba.ttu.edu/Finance%20Pres.ppt talks about something similar on page 11 and page 12 I am not what that means and how that is related to the stata p-value? and the following page westfall.ba.ttu.edu/Finance%20Pres.ppt talks about something similar on page 11 and page 12 I am not what that means and how that is related to the stata p-value? thanks rich 2008/12/5 Carlo Lazzaro <[hidden email]>: > Dear Richard, > I would refer you to Stata Archives and recommend to take a look at Maarten > Buis' and Martin Weiss' kind replies to one thread I have posted on 2008 Sep > 6 (which was not so different from yours, as it would seem): > > st: z statistics in bootstrap output > > Kind Regards and enjoy your W-E, > Carlo > -----Messaggio originale----- > Da: [hidden email] > [mailto:[hidden email]] Per conto di Richard Harvey > Inviato: venerdì 5 dicembre 2008 18.40 > A: [hidden email] > Oggetto: st: bootstrapped p-values > > Hi, > > Could someone please explain how stata computes the bootstrap p-values? > > suppose i issue the following commands > > sysuse auto > bootstrap t=r(t), rep(1000) saving(bsauto, replace): ttest mpg==0 > > i get > > > Bootstrap results Number > of obs= 74 > Replications = 1000 > > > Observed Bootstrap Normal-based > Coef. Std. Err. z P>z [95% Conf. Interval] > > t 31.66644 2.900212 10.92 0.000 25.98213 37.35075 > > > how does stata compute the P>z? > > does it... > > look at the proportion of bootstrapped t-values which are less than or > equal to the original t-value ( from > ttest mpg==0) say x and the proportion of bootstrapped t-values which > are greater than or equal to the original t-value ( from ttest mpg==0) > say y then computes p as 2 min(x,y) ? > > -- > thanks for your time > rich > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- thanks for your time rich * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ |
hi all,
Also, Is there any relation between p values and the percentile based confidence interval? thanks rich 2008/12/5 Richard Harvey <[hidden email]>: > hi, > > thanks nick and carlo.. > > I understand your point about the p value in the statout now. I am a > bit confused about some things i have read elsewhere > > for example the following > > http://compdiag.molgen.mpg.de/ngfn/docs/2003/nov/Exercises_Bootstrap.pdf > > discusses non parametric bootstrap on page 4 and on page 5 it talks about > > "The two-sided p-values are now calculated by determining the > percentage of situation where the > absolute value of the test statistics calculated from the groups with > permutated values is at least > as large as the absolute value of the test statistics calculated from > the original groups.".. > > and the following page > > westfall.ba.ttu.edu/Finance%20Pres.ppt > > talks about something similar on page 11 and page 12 > > I am not what that means and how that is related to the stata p-value? > and the following page > > westfall.ba.ttu.edu/Finance%20Pres.ppt > > talks about something similar on page 11 and page 12 > > I am not what that means and how that is related to the stata p-value? > > thanks > rich > > 2008/12/5 Carlo Lazzaro <[hidden email]>: >> Dear Richard, >> I would refer you to Stata Archives and recommend to take a look at Maarten >> Buis' and Martin Weiss' kind replies to one thread I have posted on 2008 Sep >> 6 (which was not so different from yours, as it would seem): >> >> st: z statistics in bootstrap output >> >> Kind Regards and enjoy your W-E, >> Carlo >> -----Messaggio originale----- >> Da: [hidden email] >> [mailto:[hidden email]] Per conto di Richard Harvey >> Inviato: venerdì 5 dicembre 2008 18.40 >> A: [hidden email] >> Oggetto: st: bootstrapped p-values >> >> Hi, >> >> Could someone please explain how stata computes the bootstrap p-values? >> >> suppose i issue the following commands >> >> sysuse auto >> bootstrap t=r(t), rep(1000) saving(bsauto, replace): ttest mpg==0 >> >> i get >> >> >> Bootstrap results Number >> of obs= 74 >> Replications = 1000 >> >> >> Observed Bootstrap Normal-based >> Coef. Std. Err. z P>z [95% Conf. Interval] >> >> t 31.66644 2.900212 10.92 0.000 25.98213 37.35075 >> >> >> how does stata compute the P>z? >> >> does it... >> >> look at the proportion of bootstrapped t-values which are less than or >> equal to the original t-value ( from >> ttest mpg==0) say x and the proportion of bootstrapped t-values which >> are greater than or equal to the original t-value ( from ttest mpg==0) >> say y then computes p as 2 min(x,y) ? >> >> -- >> thanks for your time >> rich >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> >> >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> > > > > -- > thanks for your time > rich > -- thanks for your time rich * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ |
Dear Richard, Nick's yesterday reply about p-value still holds. Percentile based confidence interval (CI) are simply one out of four methods (but please note that bias corrected and accelerated (BCa) CI should be set before starting bootstrap procedure by thicking the apposite box in - bootstrap options -) ,Stata offers you for calculating bootstrap. You can simply invoke - estat bootstrap, all - at the end of your yesterday's Stata lines. However, and this is more relevant, despite its computational appealing, bootstrap percentile CIs are not generally recommended (Barber JA and Thompson SG. Analysis of cost data in randomized trials: an application of the non-parametric bootstrap. Statistics in Medicine 2000; 19:3219-3236). Moreover, for a comprehensive coverage of bootstrap method, the usual reference is: Efron B, Tibshirani RJ. An Introduction to the Bootstrap. Chapman and Hall: New York, 1993 HTH,Kind Regards and enjoy your W-E, Carlo -----Messaggio originale----- Da: [hidden email] [mailto:[hidden email]] Per conto di Richard Harvey Inviato: sabato 6 dicembre 2008 0.19 A: [hidden email] Oggetto: Re: st: R: bootstrapped p-values hi all, Also, Is there any relation between p values and the percentile based confidence interval? thanks rich 2008/12/5 Richard Harvey <[hidden email]>: > hi, > > thanks nick and carlo.. > > I understand your point about the p value in the statout now. I am a > bit confused about some things i have read elsewhere > > for example the following > > http://compdiag.molgen.mpg.de/ngfn/docs/2003/nov/Exercises_Bootstrap.pdf > > discusses non parametric bootstrap on page 4 and on page 5 it talks about > > "The two-sided p-values are now calculated by determining the > percentage of situation where the > absolute value of the test statistics calculated from the groups with > permutated values is at least > as large as the absolute value of the test statistics calculated from > the original groups.".. > > and the following page > > westfall.ba.ttu.edu/Finance%20Pres.ppt > > talks about something similar on page 11 and page 12 > > I am not what that means and how that is related to the stata p-value? > and the following page > > westfall.ba.ttu.edu/Finance%20Pres.ppt > > talks about something similar on page 11 and page 12 > > I am not what that means and how that is related to the stata p-value? > > thanks > rich > > 2008/12/5 Carlo Lazzaro <[hidden email]>: >> Dear Richard, >> I would refer you to Stata Archives and recommend to take a look at >> Buis' and Martin Weiss' kind replies to one thread I have posted on 2008 Sep >> 6 (which was not so different from yours, as it would seem): >> >> st: z statistics in bootstrap output >> >> Kind Regards and enjoy your W-E, >> Carlo >> -----Messaggio originale----- >> Da: [hidden email] >> [mailto:[hidden email]] Per conto di Richard Harvey >> Inviato: venerdì 5 dicembre 2008 18.40 >> A: [hidden email] >> Oggetto: st: bootstrapped p-values >> >> Hi, >> >> Could someone please explain how stata computes the bootstrap p-values? >> >> suppose i issue the following commands >> >> sysuse auto >> bootstrap t=r(t), rep(1000) saving(bsauto, replace): ttest mpg==0 >> >> i get >> >> >> Bootstrap results Number >> of obs= 74 >> Replications = 1000 >> >> >> Observed Bootstrap Normal-based >> Coef. Std. Err. z P>z [95% Conf. Interval] >> >> t 31.66644 2.900212 10.92 0.000 25.98213 37.35075 >> >> >> how does stata compute the P>z? >> >> does it... >> >> look at the proportion of bootstrapped t-values which are less than or >> equal to the original t-value ( from >> ttest mpg==0) say x and the proportion of bootstrapped t-values which >> are greater than or equal to the original t-value ( from ttest mpg==0) >> say y then computes p as 2 min(x,y) ? >> >> -- >> thanks for your time >> rich >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> >> >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> > > > > -- > thanks for your time > rich > -- thanks for your time rich * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ |
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