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From |
nil sen <sen.nil09@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Standard Errors using Bootstrapping with Panel Data |

Date |
Tue, 22 Nov 2011 03:39:51 -0600 |

Dear Statalist Users, I have a question regarding bootstrapped standard errors for panel data models. Any help would be much appreciated. I am doing a two stage estimation with endogenous explanatory variables (in a two equations simultaneous model setup). I would like to know, how to write bootstrap commands in order to obtain standard errors after xtreg, xtprobit and reoprob (random effect ordered probit). I have 2 sets of equations......................... The 1st set contains a binary outcome variable (Y) and a continuous outcome variable (X). For which, I am using xtprobit and xtreg as following: First stage: ---------------- For the binary outcome model (where Y is binary outcome variable and X is continuous explanatory variable, which is endogenous): xtprobit Y $xvarsall predict Y_hat, xb For the continuous outcome model (where X is continuous outcome variable and here Y is binary explanatory variable and is endogenous.): xtreg X $xvarsall predict X_hat, xb **$xvarsall: contains all exogenous variables in the model. Second stage: --------------------- For the binary outcome model: xtprobit Y X_hat $xvars1, vce(bootstrap) **$xvars1: exogenous variables specific to the binary model. For the continuous outcome model, xtreg X Y_hat $xvars2, vce(bootstrap) **$xvars2: exog. vars. specific to the continuous model. *******My question is: Am I using the vce(bootstrap) option correctly with these models? If not what is the correct way of finding bootstrapped standard errors for these models? My 2nd set of equations contains an ordered outcome variable (K) and a binary outcome variable (L). For which, I am using reoprob (random effect ordered probit) and xtprobit and again using a two stage estimation technique, similar to the one mentioned above. Here, when I am using vce() option with reoprob, it is giving error that "vce() option cannot be used with reoprob". *******My question is: How can I find bootstrapped standard errors using the reoprob command? Any help would be sincerely appreciated. Thank you very much. Regards, Nil Sen * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Standard Errors using Bootstrapping with Panel Data***From:*Benjamin Volland <volland@econ.mpg.de>

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