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Re: st: vce(boot) - clustering?

From   [email protected] (Jeff Pitblado, StataCorp LP)
To   [email protected]
Subject   Re: st: vce(boot) - clustering?
Date   Tue, 11 Apr 2006 14:30:19 -0500

Scott Cunningham <[email protected]> followed up with a couple more

> > If you are concerned about overdispersion, there is also -xtnbreg-.
> Now, I may expose my ignorance here, but aren't I correcting the  
> overdispersion problem in Poisson with FE by using the vce(boot)  
> suffix?  My impression was that this was dealing with that problem.

To be honest, mentioning -xtnbreg- in this case was a red herring.  My
knee-jerk reaction whenever I hear 'overdispersion' in a poisson model context
is to mention the negative-binomial model.  Unfortunatly (for me, since I'm
the one who mentioned it), -xtnbreg- models fixed and random effects in the
dispersion parameter.  Assuming the panel effects are truly in the mean,
-xtnbreg- is not the model to use; -xtpoisson- is.

> As for bootstrapping and overdispersion, am I correct then that vce(boot) is
> going to control for within group serial correlation via clustering AND
> overdispersion?

I believe so.  I would say that using -vce(bootstrap)- will account for
departures from the within-panel iid assumption, which includes serial
correlation and overdispersion.  This all hinges on the assumption that you
are consistently modelling the mean.

--Jeff					--David Drukker
[email protected]			[email protected]
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