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st: xtivreg and clustered bootstrap


From   John Antonakis <john.antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtivreg and clustered bootstrap
Date   Sun, 25 Apr 2010 18:24:33 +0200

Hi:

I am estimating an iv model that has random effects (as tested by -xttest0-) and whose coefficients do not differ from a fixed-effects model (as tested by -xtoverid-). I would like to use the bootstrap to ensure that my standard errors are consistent given possible common "firm" and "year" shocks. I have strongly balanced panel data. I am not sure about which order to add in the firm and year clusters. Is the right command:

set seed 100
bootstrap, cluster(firm year): xtivreg y (x1 x2 = z1 z2 z3) c1 c2 c3

I have tried with the option cluster (year firm) too and I get similar standard errors (but not the same one, as I guess the sample frame is different).

Which is the best way to go?

Thanks,
John.

--
____________________________________________________

Prof. John Antonakis, Associate Dean Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
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