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From |
David Jacobs <[email protected]> |

To |
[email protected] |

Subject |
Re: st: bootstrapping RE with small number of clusters |

Date |
Thu, 31 Jan 2008 13:04:26 -0500 |

I can't speak about your bootstrapping question (and I'll be interested to read these responses), but I can offer a different suggestion.

If your theoretical presuppositions will allow you to plausibly interact your time invariant explanatory variables with explanatory variables that do vary, you then can estimate such effects of your time invariant explanatory variables and still use fixed-effects.

Dave Jacobs

At 07:35 PM 1/30/2008, you wrote:

Hello, everyone. As many of you know, I have been estimating (using �xtreg- and the cluster option) a random effects model on an unbalanced panel in which there are about 15 clusters, most observed about 15 times. That is, this is not the typical situation in which in which the number of clusters is significantly larger than the number of time periods. Two concerns: First, I am concerned that FE is more appropriate than RE. That is a problem, because just about all the regressors I care about are time constant. (I think this may mean �tough luck� for me, I realize.) Second, I am concerned with the potential for small sample bias in my variance estimates. I thought a good way to deal with this would be to bootstrap my standard errors (using �xtreg- , the cluster option, and the vce(bootstrap) options). Now, I am a novice with the bootstrap, but my initial attempts yielded confidence intervals, not surprisingly, far less favorable than those yielded under the normality assumption. (This did not improve much as I increased the number of reps.) So, does that just further demonstrate that my RE estimates are inconsistent and that there is little I can do about it? Or, is there a way to use the bootstrap to better determine the actual/observed error structure, and then re-estimate the model by imposing this �revealed� structure upon it? Thank you for your thoughts/suggestions. Lloyd Dumont ____________________________________________________________________________________ Never miss a thing. Make Yahoo your home page. http://www.yahoo.com/r/hs * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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**References**:**st: bootstrapping RE with small number of clusters***From:*Lloyd Dumont <[email protected]>

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