WCBREGRESS: Stata module to estimate a Linear Regression Model with Clustered Errors Using the Wild Cluster Bootstrap Standard Errors

Zizhong Yan () and Bingkun Lin
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Zizhong Yan: Jinan University
Bingkun Lin: Jinan University

Statistical Software Components from Boston College Department of Economics

Abstract: wcbregress estimates a linear regression model with clustered errors and provides accurate inference either when cluster number is large or small, using the method proposed in Cameron, A. C., Gelbach, J. B., & Miller, D. L. (2008), "Bootstrap-based improvements for inference with clustered errors". The Review of Economics and Statistics. The command provides the results from OLS estimation and inferences using the wild cluster bootstrap standard error procedure discussed in section 3.2 of Colin et al(2008). The inference is valid under standard modeling assumptions. In most cases, it requires the cluster number to be large enough (i.e., greater than 30). For the data with fewer clusters, this command also provides a more accurate inference using the bootstrap-t procedure shown in section 3.3 of Colin et al.(2008).

Language: Stata
Requires: Stata version 13
Keywords: regression; cluster VCE; wild bootstrap; Cameron; Gelbach; Miller (search for similar items in EconPapers)
Date: 2020-11-03
Note: This module should be installed from within Stata by typing "ssc install wcbregress". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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