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Re: st: instrumental variable for quantile regression


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: instrumental variable for quantile regression
Date   Tue, 27 May 2008 10:19:50 -0400

alessia matano <alexis.rtd@gmail.com>:
Perhaps if you show what you typed, folks on the list can offer
advice.  Even better, show an example using a publicly available
dataset, e.g. start your example code with

webuse psidextract, clear
tsset

Probably you need at least the idcluster(newvar) option on
-bootstrap-.  How are you demeaning yourself?  Better to use an -xt-
commmand.

On Tue, May 27, 2008 at 6:13 AM, alessia matano <alexis.rtd@gmail.com> wrote:
> Dear Austin,
>
> I attempt to do the estimation with bootstrap....after time-demeaning
> my observation. I have just a doubt. It is true that bootstrap allows
> the cluster option, what i do not understand well is for what should i
> clustered my observations to allow correct standard errors after
> time-demenaing myself the observations. generally i clustered them not
> for individual, but for provinces where they live (cause of
> heteroskedasticity). However bootstrap either using the individual
> cluster or using the province ones does not work, saying that there
> are time repeated values within the panel, while when I tsset them it
> understands the panel structure. May you help me with this also? It
> works only when I cluster() with no variables inside.
> May you suggest me something? Also to read about?
> thank you very much
> alessia
>
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