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Re: st: Standard Errors using Bootstrapping with Panel Data


From   nil sen <sen.nil09@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Standard Errors using Bootstrapping with Panel Data
Date   Tue, 22 Nov 2011 10:19:32 -0600

Thank you so much for the reply Ben. I appreciate.

Regards,

Nil

On Tue, Nov 22, 2011 at 3:46 AM, Benjamin Volland <volland@econ.mpg.de> wrote:
> 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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>>
>>
>
> *
> *   For searches and help try:
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>

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