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st: clustering in bootstrap


From   Marcella Nicolini <archivio.marcella@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: clustering in bootstrap
Date   Thu, 28 Apr 2011 23:17:27 +0200

Dear Stas, I am trying to estimate the following IV equation, and I
would like to get a clustering in the s.e.

I get this r(451) with different types of clusters:

xi: bootstrap _b _se, reps(350) seed(10101) cluster(panel_id
booking_day) nodots: xtivreg2 lnpriceuk2 book_day1-book_day63
i.dow_book i.month_book resid_time  (sold= hol_book_per
fare_priceuk_IV) if period>200312 & d_promo1==0  & avseats <50, fe
i.dow_book        _Idow_book_0-6      (naturally coded; _Idow_book_0 omitted)
i.month_book      _Imonth_boo_1-12    (naturally coded; _Imonth_boo_1 omitted)
repeated time values within panel
the most likely cause for this error is misspecifying the cluster(),
idcluster(), or group() option
r(451);

xi: bootstrap _b _se, reps(350) seed(10101) cluster(panel_id) nodots:
xtivreg2 lnpriceuk2 book_day1-book_day63  i.dow_book i.month_book
resid_time  (sold= hol_book_per fare_priceuk_IV) if period>200312 &
d_promo1==0  & avseats <50, fe
i.dow_book        _Idow_book_0-6      (naturally coded; _Idow_book_0 omitted)
i.month_book      _Imonth_boo_1-12    (naturally coded; _Imonth_boo_1 omitted)
repeated time values within panel
the most likely cause for this error is misspecifying the cluster(),
idcluster(), or group() option
r(451);

But I do not understand how repeated time values may occur if the data
do not show duplicates and the panel structure is as follows:

. tsset panel_id booking_day
      panel variable:  panel_id (strongly balanced)
       time variable:  booking_day, 1 to 70, but with gaps
               delta:  1 unit

. duplicates list panel_id booking_day

Duplicates in terms of panel_id booking_day

(0 observations are duplicates)

Ideally, I would like to cluster s.e. for a group of panel_ids, but
this by definition
implies repeated time values within cluster, so I am afraid that it is
not possible
(although I do not understand why)
Thank you!
Marcella

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