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From | Cameron McIntosh <cnm100@hotmail.com> |
To | STATA LIST <statalist@hsphsun2.harvard.edu> |
Subject | RE: st: Bootstrapping & clustered standard errors (-xtreg-) |
Date | Wed, 7 Sep 2011 10:24:33 -0400 |
Stas, Tobias I agree with Stas that there is not much point in using the bootstrap in this case, unless you have custom bootstrap weights computed by a statistical agency for a complex sampling frame, which would incorporate adjustments for non-response and calibration to known totals, etc. I don't think that is the case here, so I would go with the -cluster- SEs too. My two cents, Cam > Date: Wed, 7 Sep 2011 09:03:27 -0500 > Subject: Re: st: Bootstrapping & clustered standard errors (-xtreg-) > From: skolenik@gmail.com > To: statalist@hsphsun2.harvard.edu > > Tobias, > > can you please explain why you need the bootstrap at all? The > bootstrap standard errors are equivalent to the regular -cluster- > standard errors asymptotically (in this case, with the number of > clusters going off to infinity), and, if anything, it is easier to get > the bootstrap wrong than right with difficult problems. If -cluster- > option works at all with -xtreg-, I see little reason to use the > bootstrap. (Very technically speaking, in my simulations, I've seen > the bootstrap standard errors to be more stable than -robust- standard > errors with large number of the bootstrap repetitions that have to be > in an appropriate relations with the sample size; whether that carries > over to the cluster standard errors, I don't know.) > > On Tue, Sep 6, 2011 at 12:25 PM, Tobias Pfaff > <tobias.pfaff@uni-muenster.de> wrote: > > 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! > > > > Thanks, > > Tobias > > > > * > > * 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/ > > > > > > -- > Stas Kolenikov, also found at http://stas.kolenikov.name > Small print: I use this email account for mailing lists only. > > * > * 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/ * * 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/