topic bootstrap by firm and month in SAS Programming

bootstrap by firm and month

Jonate_H — Mon, 05 Sep 2016 23:52:46 GMT

I try to bootstrap using proc surveyselect or the following code

data bootstraps;
do replicate = 1 to 10;
do simorder = 1 to nobs;
p = ceil(nobs * ranuni(394747373));
set sample nobs=nobs point=p;
output;
end;
end;
stop;
run;

I want the bootstrap run by each id-month combination, rather than apply to the whole dataset. One way is to separate the dataset into small ones (e.g., for id=11, I have sub-dataset for month 1 and 2; and for id=22, also have subdatasets for month 1 and 2), then apply above code to each subdataset, finally merge. It works fine if I have only 2 firms.

Any options I can refer to, to bootstrap by firm and month? strata option looks like select different observations from different groups.

Thanks!

Re: bootstrap by firm and month

PGStats — Tue, 06 Sep 2016 02:13:19 GMT

Look at this example:

proc sort data=sashelp.class out=orderedClass; by sex; run;

proc surveyselect data=orderedClass method=urs samprate=100 rep=10 
    out=bootstraps outhits seed=9636365;
strata sex;
run;

Re: bootstrap by firm and month

Jonate_H — Tue, 06 Sep 2016 22:27:29 GMT

Thank you PG!

So the key point here is to set samprate=100, and if I want to sample by two variables, I just add another variable to the strata statement?

e.g, if there is another variable named region, then the statement:

strata sex region;

will sample by each combination of sex-region, and the samprate=100 will make sure that the bootstrap works within each combination of sex-region.

Correct me if I am wrong. thanks!

Re: bootstrap by firm and month

PGStats — Wed, 07 Sep 2016 00:47:58 GMT

Right! The sort would also have to be by sex region;