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st: xthtaylor using vce(bootstrap, cluster(month)) when calculating SE


From   "M.M. Kramer" <[email protected]>
To   [email protected]
Subject   st: xthtaylor using vce(bootstrap, cluster(month)) when calculating SE
Date   Mon, 12 Mar 2012 11:50:54 +0100

Dear Statalist Users,

A reviewer asked me make sure to control for cross-sectional dependence in my data an apply a bootstrap technique. Therefore, I use -vce(bootstrap, reps(250) seed(1))- after -xthtaylor-.

Another reviewer asked to additionally apply the cluster option in the bootstrap command. However, when I use -vce(bootstrap, cluster(month) reps(250) seed(1))- after -xthtaylor- Stata replies "option cluster() not allowed". Apperently this option cannot be executed when using Hausman-Taylor estimation.

My question is if it possible with the -xthtaylor- command to use clustered standard errors when bootstrapping and if it would make sense?

Thanks,
Marc
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