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From | Stas Kolenikov <skolenik@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: xtivreg and clustered bootstrap |
Date | Sun, 25 Apr 2010 22:42:29 -0500 |
I would venture a guess that if firm and year uniquely identify the observations in the sense that bysort year firm : assert _N == 1 or bysort firm year : assert _N == 1 you are bootstrapping the individual observations, which is very far from what you want to do (twoway panel). Frankly, I cannot think off the top of my head of a good bootstrap scheme here, since all observations in your data set are correlated. I would probably bootstrap by the -cluster(firm)- and run the two-way panel data analysis if such a routine (and an estimation method, in principle) exists. I am pretty sure that this is not what -xtivreg- estimates though. May be you could -gmm- this somehow.