Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: xtivreg and clustered bootstrap

From   John Antonakis <>
Subject   st: xtivreg and clustered bootstrap
Date   Sun, 25 Apr 2010 18:24:33 +0200


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?



Prof. John Antonakis, Associate Dean Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Faculty page:

Personal page:

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index