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


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Bootstrapping & clustered standard errors (-xtreg-)
Date   Wed, 7 Sep 2011 10:24:33 -0400

Stas, Tobias
I agree with Stas that there is not much point in using the bootstrap in this case, unless you have custom bootstrap weights computed by a statistical agency for a complex sampling frame, which would incorporate adjustments for non-response and calibration to known totals, etc. I don't think that is the case here, so I would go with the -cluster- SEs too.
My two cents,
Cam 

> Date: Wed, 7 Sep 2011 09:03:27 -0500
> Subject: Re: st: Bootstrapping & clustered standard errors (-xtreg-)
> From: skolenik@gmail.com
> To: statalist@hsphsun2.harvard.edu
> 
> 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
> >
> > *
> > *   For searches and help try:
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> > *   http://www.ats.ucla.edu/stat/stata/
> >
> 
> 
> 
> -- 
> Stas Kolenikov, also found at http://stas.kolenikov.name
> Small print: I use this email account for mailing lists only.
> 
> *
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