### Tuesday, March 14, 2006

## Re: SV: st: svy jackknife problems

Note that -correlate- does allow aweights, which give the same point estimates as pweights or iweights would.

Note also my -corr_svy- on SSC, which implements one approach to a linearized variance estimator for correlations (see the help file for a discussion of the method--basically it uses -svyreg- to get significance levels.

Also note my -svr- package on SSC, which implements BRR and jackknife. The package is largely superseded by Stata 9's -svy- capabilities in this area; however it does include facilities for correlation coefficients. (It also includes -svrest-, which is a wrapper for (almost) any estimation command.)

Best, Nick Winter

At 04:04 AM 3/14/2006, you wrote: >Thanks Jeff, this was helpful. The results I >reported were estimated with no pweight (or >iweight) defined in svyset. When I svyset using >the approrpiate pweight, svy jackknife, mse >yields exactly the same result as my own >estimator. And, if I svyset with a new pweight >variable defined as 1 for all cases, I replicate >the correct result from my example in the former email (se=.08737). > >So, as you say, there seems to be some problem >with the mse estimator when no pweight is defined that needs to be fixed. > >While fixing this problem, couldn't you >implement a jackknife svy estimator that allows >the correlation command? I know the problem now >is that corr doesn't allow pweights (or >iweigths), but couldn't that be fixed in the >first place (that is also very annoying, that >you can't weight your survey data appropriately >when running correlation coefficients without >using the cumbersome fweights). I guess no >well-defined linearized variance estimator >exists for the correlation coefficient (at least >I have never seen one), so this is an area where >jackknife (or, if the design allows for it, BRR) >would really be a necessary tool! > >All the best, > >Jan > >________________________________ > >Från: owner-statalist@hsphsun2.harvard.edu genom Jeff Pitblado, StataCorp LP >Skickat: må 2006-03-13 22:34 >Till: statalist@hsphsun2.harvard.edu >Ämne: 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/ > >

________________________________________________________ Nicholas J. G. Winter 607.255.8819 t Assistant Professor 607.255.4530 f Department of Government nw53@cornell.edu e Cornell University falcon.arts.cornell.edu/nw53 w 308 White Hall Ithaca, NY 14853-4601

* * 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/

Tag: statalist