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Re: st: Standard Errors using Bootstrapping with Panel Data


From   Benjamin Volland <volland@econ.mpg.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Standard Errors using Bootstrapping with Panel Data
Date   Tue, 22 Nov 2011 10:46:45 +0100

Hey Nil,

there is no bootstrap option for the user-written (G. Frechette, 2001) -reoprob- command. Thus you need to follow the instructions from the FAQ: http://www.stata.com/support/faqs/stat/xt_boot.html

Best, Ben

On 22/11/2011 10:39, nil sen wrote:
Dear Statalist Users,

I have a question regarding bootstrapped standard errors for panel
data models. Any help would be much appreciated.

I am doing a two stage estimation with endogenous explanatory
variables (in a two equations simultaneous model setup).

I would like to know, how to write bootstrap commands in order to
obtain standard errors after xtreg, xtprobit and reoprob (random
effect ordered probit).

I have 2 sets of equations.........................

The 1st set contains a binary outcome variable (Y) and a continuous
outcome variable (X). For which, I am using xtprobit and xtreg as
following:

First stage:
----------------
For the binary outcome model (where Y is binary outcome variable and X
is continuous explanatory variable, which is endogenous):

xtprobit Y $xvarsall
predict Y_hat, xb

For the continuous outcome model (where X is continuous outcome
variable and here Y is binary explanatory variable and is
endogenous.):

xtreg X $xvarsall
predict X_hat, xb

**$xvarsall: contains all exogenous variables in the model.

Second stage:
---------------------
For the binary outcome model:

xtprobit Y X_hat $xvars1, vce(bootstrap)

**$xvars1: exogenous variables specific to the binary model.

For the continuous outcome model,

xtreg X Y_hat $xvars2, vce(bootstrap)

**$xvars2: exog. vars. specific to the continuous model.


*******My question is: Am I using the vce(bootstrap) option correctly
with these models? If not what is the correct way of finding
bootstrapped standard errors for these models?


My 2nd set of equations contains an ordered outcome variable (K) and a
binary outcome variable (L). For which, I am using reoprob (random
effect ordered probit) and xtprobit and again using a two stage
estimation technique, similar to the one mentioned above. Here, when I
am using vce() option with reoprob, it is giving error that "vce()
option cannot be used with reoprob".

*******My question is: How can I find bootstrapped standard errors
using the reoprob command?

Any help would be sincerely appreciated.

Thank you very much.

Regards,

Nil Sen
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