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| From | John Antonakis <john.antonakis@unil.ch> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: xtivreg and clustered bootstrap |
| Date | Sun, 25 Apr 2010 18:24:33 +0200 |
Hi:I am estimating an iv model that has random effects (as tested by -xttest0-) and whose coefficients do not differ from a fixed-effects model (as tested by -xtoverid-). I would like to use the bootstrap to ensure that my standard errors are consistent given possible common "firm" and "year" shocks. I have strongly balanced panel data. I am not sure about which order to add in the firm and year clusters. Is the right command:
set seed 100 bootstrap, cluster(firm year): xtivreg y (x1 x2 = z1 z2 z3) c1 c2 c3I have tried with the option cluster (year firm) too and I get similar standard errors (but not the same one, as I guess the sample frame is different).
Which is the best way to go? Thanks, John. -- ____________________________________________________Prof. John Antonakis, Associate Dean Faculty of Business and Economics
Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 Faculty page: http://www.hec.unil.ch/people/jantonakis Personal page: http://www.hec.unil.ch/jantonakis ____________________________________________________ * * 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/