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st: Bootstrapping & clustered standard errors (-xtreg-)

From   "Tobias Pfaff" <[email protected]>
To   <[email protected]>
Subject   st: Bootstrapping & clustered standard errors (-xtreg-)
Date   Tue, 6 Sep 2011 19:25:21 +0200

Dear Statalisters,

I do the following fixed effects regression:

xtreg depvar indepvars, fe vce(cluster region) nonest dfadj

Individuals in the panel are identified by the variable "pid". The time
variable is "svyyear". Data were previously declared as panel data with
-xtset pid svyyear-.
Since one of my independent variables is clustered at the regional level
(not at the individual level), I use the option -vce(cluster region)-.

Now, I would like to do the same thing with bootstrapped standard errors.
I tried several commands, however, none of them works so far. For example:

xtreg depvar indepvars, fe vce(bootstrap, reps(3) seed(1) cluster(region))
nonest dfadj
.where I get the error message "option cluster() not allowed".

None of the hints in the manual (e.g., -idcluster()-, -xtset, clear-, -i()-
in the main command) were helpful so far.

How can I tell the bootstrapping command that the standard errors should be
clustered at the regional level while using "pid" for panel individuals?

Any comments are appreciated!


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