Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: QR IVs and Cluster Robust Bootstrap for bsqreg

From   Abekah Nkrumah <>
Subject   st: QR IVs and Cluster Robust Bootstrap for bsqreg
Date   Thu, 1 Mar 2012 01:12:10 +0000

Hi Statalist

I am running quantile regressions with a continuous dependent variable
and have a challenge

On the issue of quantile IVs based on 2SQR, my understanding is that I
need to run an OLS with my endogenous variable as the dependent
variable and the instruments together with the other exogenous
aggressors as independent variables. I will then predict from the
first stage and then plug it into the structural equation and then
bootstrap the standard errors to take care of possible bias in the
standard errors of the predicted variable. Will I be right if I do
this and is this the same as what is proposed by Amemiya (1982) and
Powell (1983)

Secondly, my data was collected via stratified sampling (ie.
clustering). This means that using the normal bootstrapping will not
correct for the intra-cluster correlations. Instead a cluster robust
bootstrapping will be adequate. However the qreg, bsqreg and sqreg
commands in stata seem not to work when I specify the vce cluster
option for bootstrap. Please can someone help on this?

Can you help me on this. Thank you very much


Dept. of Public Admin & Health Serv. Mgt
University of Ghana Business School
P.O. Box LG 78
Tel: ++ 233 21 500159 Ext. 6247
       ++ 233 21 502258 Ext. 6247
       ++ 233 21 502255 Ext. 6247
Cell: ++233 243 198 313


*   For searches and help try:

© Copyright 1996–2016 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index