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On Sun, Apr 25, 2010 at 11:24 AM, John Antonakis <email@example.com> wrote:
> 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
Stas Kolenikov, also found at http://stas.kolenikov.name
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