boottest: just as wild, 10X faster

[David Roodman]

Appendix A.2 of the paper about boottest describes an opportunity to speed up the program's construction of confidence sets for one-dimensional hypothesis tests after OLS (or after IV estimation when performing the Anderson-Rubin test). I have finally, mostly exploited that opportunity, which is about taking advantage of the knowledge that the computations, while sometimes complex, are to a great degree linear in the trial value for the parameter being tested.

The main benefit is for certain cases where boottest still took significant time. I think there are two: where there is multiway error clustering, and the subcluster bootstrap. These can involve large numbers of bootstrap or error clusters. The paper includes an example of applying the subcluster bootstrap to a treatment effects regression with few treated clusters. The slowest regression in that example now takes a minute on my machine rather than 10 minutes.

The surgery to the code was substantial, so let me know if you spot problems.

Install with

ssc install boottest, replace

[Michal Brzezinski]

Dear David,

thank you for the excellent package. However, when I try to run the examples from the help file, I receive the following error:

_panelsum(): 3499 panelsum() not found
boottestModel::_makeStuffLinearInr0(): - function returned error
boottestModel::makeStuffLinearInr0(): - function returned error
boottestModel::boottest(): - function returned error
boottestModel::getstat(): - function returned error
boottest_stata(): - function returned error
<istmt>: - function returned error

Following the advice in other thread, I uninstalled the package and re-installed it, but the error reappears.

Can you help?
Michal

[David Roodman]

Very sorry. I think I mistakenly compiled the program for public distribution in Stata 11 rather than 13.

Please type "which boottest.mata". Then apply the "run" command to the displayed file. It should look something like this:

. which boottest.mata
c:\ado\plus\b\boottest.mata
*! boottest 3.0.0 14 December 2020
*! Copyright (C) 2015-20 David Roodman

. run "c:\ado\plus\b\boottest.mata"
.

I think that will fix it. Alternatively, type:

net install boottest, replace from(https://raw.github.com/droodman/boottest/v3.0.1)

and then perhaps you'll need to restart Stata.

I'll have this fix posted on SSC soon.

[Michal Brzezinski]

Thank you very much. It works beautifully now.