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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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