Dear all,
I am happy to announce a new Stata command, dbs, which allows the computation of double bootstrap confidence intervals. The command is easy to use, very similar to bootstrap, lightweight and supports multiple threads. For more information please refer to the documentation file (help dbs) or the Github page.

Installation
Code:
net install dbs, from(https://raw.github.com/fbittmann/dbs/stable) replace
Minimal example
Code:
. sysuse auto, clear
(1978 Automobile Data)

. dbs r(mean) r(p50): summarize mpg, detail
Warning:  Because the command invoked does not set e(sample),
          dbs has no way to determine which observations are
          used incalculating the statistics and so assumes
          that all observations are used. Check for missing
          values with care.

Bootstrap replications (100 / 20)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
..........

Bootstrap results                                           Number of obs = 74
                                                                    Reps1 = 100
                                                                    Reps2 = 20
command:  summarize mpg, detail
    _bs_1: r(mean)
    _bs_2: r(p50)

---------------------------------------------------------------------------------
          | Observed Coef.   Boot. Std. Err.   Bias   SFrancia   [95% Conf. Interval]
----------+----------------------------------------------------------------------
   _bs_1  |  21.2973      0.6301      -0.075       0.963     20.1315     22.8198
   _bs_2  |  20.0000      0.9891       0.095       0.561     16.9322     22.4864
---------------------------------------------------------------------------------
Since this is a new release bugs and errors might occur so please be careful. I am grateful for input and advice and would like to hear your opinions and suggestions. Next thing on my to-do list is to run simulations to assess in detail the pros and cons of double bootstraps in comparison to the regular ones.