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I am using the boot function in R to get standard errors for several statistics (I am doing a oaxaca blinder decomposition). My data (EU-SILC) has sample weights (PB040) for every observation. My understanding is that I have to use those weights for every OLS regression or other package I run to correct for sampling errors of the survey.

The thing is now that the boot package in R also can use sample weights.

Should I use the same sample weights for the call of the boot function and for the calculations "inside" the boot function?

My reason for this question is that since the boot function does a weighted draw from the original sample the function "inside" the boot-function should allready have a weighted sample. So using sample weights inside the boot function would be redundant or lead to a bias.

This is my first posting to cross validated and I am pretty new to bootstraping and econometrics so I hope I asked the question concise enough.

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  • $\begingroup$ So for everybody stumbling upon this question: I talked with a microeconometrics professor in my department about this problem and he told me to do the reweighting only with the OLS regressions and don´t weight the bootstrap draws. $\endgroup$
    – Max
    Jun 29, 2015 at 9:29

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If you are working with a typical labor force survey (LFS), chances are it has more than just the weights in the mix, like stratification and clustering. These have to be accounted for appropriately. R's survey package can create the bootstrap weights that account for these aspects of the survey; I doubt boot package does this properly. That said, you may have to code Oaxaca-Binder decomposition from scratch using the results from svyglm.

To my amazement and despair, econometric references often give technically incorrect advice on how to deal with complex survey data. It seems like few if any econometricians have ever taken a course in sampling, and understand finite population inference, and why survey statisticians create all these complications of weights, clusters and strata. (The answer is, to make the damn thing work at all; it is all nice to assume rational expectations for a dissertation paper, but in the real world, you have to deal with limited budgets, non-existent lists of observation units, and requests to optimize the survey for this and that and yet another statistic.) (To be fair, that's a complete rehaul of one's thinking; econometricians are all about models, while finite population inference is all about how to avoid models and deal with non-parametric sampling inference; it took me some 2-3 years to get into the groove; I started as an econometrician, and now do surveys for living.) For a 50-page introduction, you can take a look at my chapter in Handbook of Health Survey Methods. For a book length treatment, you would want to start with Heeringa, West and Berglund (2010) or Lumley (2010).

As a side comment, there may be better decompositions available on the market.

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  • $\begingroup$ thank you very much for your answer. I will definitively read your chapter if our library has the book in stock. $\endgroup$
    – Max
    Jul 21, 2015 at 14:35
  • $\begingroup$ I am also doing a heckit 2step correction for sample selection with the sampleselection package in R before doing the oaxaca blinder decomposition. I again simply used the PB040 variable for weighting. I found this ressource about EU-SILC and their sampling: ec.europa.eu/eurostat/statistics-explained/index.php/… what would be the right way to estimate weighted OLS and Probits for AT? The OB decomposition is only the first method in my masterthesis. I am doing Machado/Mata as a secon method. I´ll look into others soon $\endgroup$
    – Max
    Jul 21, 2015 at 14:50
  • $\begingroup$ As stated above I ended up doing the Oaxaca Blinder Decomposition with the lm() command in R using the variable PB040 for weighting and bootstrapped this procedure without weights using the boot() function in R. I could go back using svglm instead of lm which would be not that much more work if the syntax is simillar to lm() $\endgroup$
    – Max
    Jul 21, 2015 at 14:51
  • $\begingroup$ ec.europa.eu/eurostat/statistics-explained/index.php/… $\endgroup$
    – Max
    Jul 21, 2015 at 14:56
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Since I am currently working on a similar problem, I am curious how you took weights into account when you run your lm() model in the oaxaca() function?

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  • $\begingroup$ This is a comment, not an answer. $\endgroup$
    – dash2
    May 6, 2022 at 17:27

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