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


From   "Tobias Pfaff" <tobias.pfaff@uni-muenster.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Bootstrapping & clustered standard errors (-xtreg-)
Date   Thu, 8 Sep 2011 10:30:58 +0200

Dear Stas, Cam,

Thanks for your input!

I want to bootstrap as a robustness check since my residuals of the FE
regression are not normally distributed.
And bootstrapping as a robustness check because it does not assume normality
of the residuals
(e.g., Headey et al. 2010, appendix p. 3,
http://www.pnas.org/content/107/42/17922.full.pdf?with-ds=yes).

If I do bootstrapping with clustered standard errors as Jeff has explained I
get the following error message:

- insufficient observations
an error occurred when bootstrap executed xtreg, posting missing values -

Cam, you say that I would need custom bootstrap weights. My dataset provides
individual weights with adjustments
for non-response etc. I do not use weights for the regression because the
possible selection bias is mitigated due
to the fact that the variables which could cause the bias are included as
control variables (e.g., income, employment
status). Thus, I would argue that my model is complete and the unweighted
analysis leads to unbiased estimators.

1. Would you still include weights for the bootstrapping?

2. Does bootstrapping need more degrees of freedom than the normal
estimation of -xtreg- so that I get the above error message?

3. If bootstrapping is not a good idea in this case, what can I do to
encounter the breach of the normality assumption of the residuals?
(I already checked transformation of the variables, but that doesn't help)

Regards,
Tobias


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

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:
> > *   http://www.stata.com/help.cgi?search
> > *   http://www.stata.com/support/statalist/faq
> > *   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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