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

Author

Listed:
  • Zizhong Yan

    (Jinan University)

  • Bingkun Lin

    (Jinan University)

Programming Language

Stata

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).

Suggested Citation

  • Zizhong Yan & Bingkun Lin, 2020. "WCBREGRESS: Stata module to estimate a Linear Regression Model with Clustered Errors Using the Wild Cluster Bootstrap Standard Errors," Statistical Software Components S458863, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458863
    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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    File URL: http://fmwww.bc.edu/repec/bocode/w/wcbregress.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/w/wcbregress.sthlp
    File Function: help file
    Download Restriction: no
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