Monday, March 13, 2006

Re: st: svy jackknife problems

Jan Teorell <jan.teorell@pol.gu.se> is having trouble reproducing hand-coded jackknife variance estimates using -svy jackknife-:

> I'm having trouble with the svy jackknife command. I had earlier implemented > a crewd jackknife estimator myself, tailored for my particular complex > survey design including both stratification and multistage cluster sampling. > With Stata 9 I presumably should need to use this homemade program anymore, > since svy jackknife should do the job for me. However, the results from my > estimator and svy jackknife differs for reasons I am not quite clear of.

> To take this down to a more concrete level, I tested the two commands on a > small subsample of my survey, using only 2 strata with 2 PSU:s each. I then > ran a simple regression, with the following estimates per replication (where > b(h,j)=the regression coefficient received when excluding PSU j from stratum > h):

> b(1,1)=.4230769 > b(1,2)=.5417409 > b(2,1)=.5537783 > b(2,2)=.4259508

> The estimate from the entire sample is: b=.4866513

> Plugging in these estimates into the formula for the mse estimator (Survey > Data Manual, p. 266) yields:

> 1/2*[(.4230769-.4866513)^2+(.5417409-.4866513)^2] + > 1/2*[(.5537783-.4866513)^2+(.4259508-.4866513)^2]

> which is aproximately equal to .0076336. The square root of this, that is, > the estimate of the standard error is: .0873703.

> Incidentally, this is what my homemade jackknife estimator arrives at. > However, svy jackknife reaches a somewhat different conclusion: se = > .1070064

> This is so despite the fact that the same estimated b(h,j)-coefficients go > into both procedures (I have checked this by running jackknife noisily). > There also appears to be nothing wrong with the weights: the "sum of wgt > is..." yields exactly similar results.

> So what could be wrong? What could explain the difference?

Although I can't be sure without seeing how Jan -svyset- the data, it seems the culprit here is -svyset- -iweight-s.

As far as -svy- is concerned, -iweight-s and -pweight-s are the same except that -iweight-'s are allowed to be negative. However, looking into reproducing Jan's results, we found that -svyset-ting -iweight-s and using the -mse- option with -svy jackknife- can result in different variance/standard error estimates than -svyset-ting -pweight-s. This should be fixed in the next ado-file update.

Until then Jan should be able to reproduce the correct results by -svyset-ting -pweight-s and re-running -svy jackknife-.

--Jeff jpitblado@stata.com * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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