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Re: st: Bootstrapping & clustered standard errors (-xtreg-)


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Bootstrapping & clustered standard errors (-xtreg-)
Date   Wed, 7 Sep 2011 09:03:27 -0500

Tobias,

can you please explain why you need the bootstrap at all? The
bootstrap standard errors are equivalent to the regular -cluster-
standard errors asymptotically (in this case, with the number of
clusters going off to infinity), and, if anything, it is easier to get
the bootstrap wrong than right with difficult problems. If -cluster-
option works at all with -xtreg-, I see little reason to use the
bootstrap. (Very technically speaking, in my simulations, I've seen
the bootstrap standard errors to be more stable than -robust- standard
errors with large number of the bootstrap repetitions that have to be
in an appropriate relations with the sample size; whether that carries
over to the cluster standard errors, I don't know.)

On Tue, Sep 6, 2011 at 12:25 PM, Tobias Pfaff
<tobias.pfaff@uni-muenster.de> wrote:
> Dear Statalisters,
>
> I do the following fixed effects regression:
>
> xtreg depvar indepvars, fe vce(cluster region) nonest dfadj
>
> Individuals in the panel are identified by the variable "pid". The time
> variable is "svyyear". Data were previously declared as panel data with
> -xtset pid svyyear-.
> Since one of my independent variables is clustered at the regional level
> (not at the individual level), I use the option -vce(cluster region)-.
>
> Now, I would like to do the same thing with bootstrapped standard errors.
> I tried several commands, however, none of them works so far. For example:
>
> xtreg depvar indepvars, fe vce(bootstrap, reps(3) seed(1) cluster(region))
> nonest dfadj
> .where I get the error message "option cluster() not allowed".
>
> None of the hints in the manual (e.g., -idcluster()-, -xtset, clear-, -i()-
> in the main command) were helpful so far.
>
> How can I tell the bootstrapping command that the standard errors should be
> clustered at the regional level while using "pid" for panel individuals?
>
> Any comments are appreciated!
>
> Thanks,
> Tobias
>
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>



-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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