My second-best suggestion is to move to -xtgee-
Nicola
At 02.33 29/08/2007 -0400, "Skidmore, Mark" wrote:
>I have estimated a two-stage regression using the following commands:
>
>. xtpcse lntifvalue cityshare lnpop effectivefullvaluerate residential_share year5-year17, correlation(ar1) pairwise
>. predict xb
>. xtpcse lnvalueexcludingtif xb lnpop effectivefullvaluerate residential_share year5-year17, correlation(ar1) pairwise
>
>However, the standard errors in this two-step procedure are incorrect. I thought I might be able to obtain the correct standard errors using the VCE bootstrapping option. While the VCE option is available for the xtreg command, it appears that the VCE option is not available for the xtpcse command. Has anybody utilized the bootstrapping technique in conjunction with the xtpcse command? Any other ideas for how best to obtain the correct standard errors in this context? Your suggestions would be very much appreciated.
>
>Mark
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