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EXBSAMPLE: Stata module to compute exchangeably weighted (or Bayesian) bootstraps

Author

Listed:
  • Philippe Van Kerm

    (Luxembourg Institute of Socio-Economic Research)

Programming Language

Stata

Abstract

exbsample generates bootstrap replication weights for implementation of exchangeably weighted bootstrap schemes, also known as the Bayesian bootstrap. It can be used as an alternative to bsample. Exchangeably weighted bootstrap schemes (or weighted, or exchangeable bootstraps) are alternatives to the traditional non-parametric (paired) bootstrap. Standard bootstrap replications involve generating bootstrap samples of size N by drawing with replacement from the original data. Such a bootstrap resample can be seen as a frequency weighted version of the original data, with integer weights representing the number of times each observation is drawn in a resample. (See the weight option of Stata's bootstrap drawing command bsample.) Exchangeably weighted bootstrap schemes can be seen as extensions of this representation: bootstrap resamples are created by generating replication weights directly from appropriate distribution functions. See Praestgaard and Wellner (1993) for details. This technique is also known as the Bayesian bootstrap (Rubin, 1981).

Suggested Citation

  • Philippe Van Kerm, 2022. "EXBSAMPLE: Stata module to compute exchangeably weighted (or Bayesian) bootstraps," Statistical Software Components S459124, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459124
    Note: This module should be installed from within Stata by typing "ssc install exbsample". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/e/exbsample.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/e/exbsample.sthlp
    File Function: help file
    Download Restriction: no
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