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

Philippe Van Kerm

Statistical Software Components from Boston College Department of Economics

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).

Language: Stata
Requires: Stata version 9.2
Keywords: exchangeable weighting; bootstrap; Bayesian bootstrap (search for similar items in EconPapers)
Date: 2022-09-11
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.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/e/exbsample.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/exbsample.sthlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459124

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().