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st: Wild bootstrap for non-linear models?


From   "Tobias Pfaff" <tobias.pfaff@uni-muenster.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Wild bootstrap for non-linear models?
Date   Fri, 9 Nov 2012 09:44:13 +0100

Hi all,

A recent query asked for advice concerning wild bootstrap for a Tobit
regression (http://www.stata.com/statalist/archive/2012-10/msg00827.html).
Since there was no answer, once again:

Is it possible to use the wild bootstrap for an ordered probit model?
Are you aware of any study which has done this before?

I have an unbalanced panel data set (N = 170,000; T = 9), and I need to
estimate an ordered probit regression for my ordered categorical dependent
variable.
My standard errors need to be clustered, but the number of clusters is small
(14).
Therefore, I would like to apply the wild bootstrap to estimate a possibly
less biased t-statistic as suggested by Cameron, Gelbach, Miller (2008). 

Any hint is appreciated!
Tobias



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