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Re: st: xthtaylor using vce(bootstrap, cluster(month)) when calculating SE


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xthtaylor using vce(bootstrap, cluster(month)) when calculating SE
Date   Mon, 12 Mar 2012 17:17:16 -0400

I don't know what -xthtaylor- is, but here is an example of wrapping a command (-stcox-) that could not take a cluster() option in a program and bootstrapping the program with a cluster option: http://www.stata.com/statalist/archive/2012-02/msg00888.html  

Steve
sjsamuels@gmail.com


On Mar 12, 2012, at 6:50 AM, M.M. Kramer wrote:

Dear Statalist Users,

A reviewer asked me make sure to control for cross-sectional dependence in my data an apply a bootstrap technique. Therefore, I use -vce(bootstrap, reps(250) seed(1))- after -xthtaylor-.

Another reviewer asked to additionally apply the cluster option in the bootstrap command.  However, when I use -vce(bootstrap, cluster(month) reps(250) seed(1))- after -xthtaylor- Stata replies "option cluster() not allowed". Apperently this option cannot be executed when using Hausman-Taylor estimation.

My question is if it possible with the -xthtaylor- command to use clustered standard errors when bootstrapping and if it would make sense?

Thanks,
Marc
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