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| From | Abekah Nkrumah <ankrumah@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: QR IVs and Cluster Robust Bootstrap for bsqreg |
| Date | Thu, 1 Mar 2012 01:12:10 +0000 |
Hi Statalist I am running quantile regressions with a continuous dependent variable and have a challenge On the issue of quantile IVs based on 2SQR, my understanding is that I need to run an OLS with my endogenous variable as the dependent variable and the instruments together with the other exogenous aggressors as independent variables. I will then predict from the first stage and then plug it into the structural equation and then bootstrap the standard errors to take care of possible bias in the standard errors of the predicted variable. Will I be right if I do this and is this the same as what is proposed by Amemiya (1982) and Powell (1983) Secondly, my data was collected via stratified sampling (ie. clustering). This means that using the normal bootstrapping will not correct for the intra-cluster correlations. Instead a cluster robust bootstrapping will be adequate. However the qreg, bsqreg and sqreg commands in stata seem not to work when I specify the vce cluster option for bootstrap. Please can someone help on this? Can you help me on this. Thank you very much Regards -- ********************************************** Dept. of Public Admin & Health Serv. Mgt University of Ghana Business School P.O. Box LG 78 Legon-Accra Ghana Tel: ++ 233 21 500159 Ext. 6247 ++ 233 21 502258 Ext. 6247 ++ 233 21 502255 Ext. 6247 Cell: ++233 243 198 313 Email: gankrumah@ug.edu.gh ankrumah@gmail.com * * 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/