Hello everyone,
I have been trying to implement the PPML FE IV with the control function, as in this topic: https://www.statalist.org/forums/for...-fixed-effects
As mentioned by Wooldridge, we might correct the SE using bootstrap. I know that it is tricky to use bootstrap for panel data, one must generate a newid in order to respect the panel structure (as in: https://www.stata.com/support/faqs/s...th-panel-data/). However, because I am using ppmlhdfe in the second stage some observations are dropped. My question is about "forcing" bootstrap to respect the singleton that has been dropped from ppmlhdfe.
i) Am I supposed to do that, right? (respect the singletons);
ii) How could I make the bootstrap respect it?
Thank you in advance!
Kind regards,
Mauricio.
I have been trying to implement the PPML FE IV with the control function, as in this topic: https://www.statalist.org/forums/for...-fixed-effects
As mentioned by Wooldridge, we might correct the SE using bootstrap. I know that it is tricky to use bootstrap for panel data, one must generate a newid in order to respect the panel structure (as in: https://www.stata.com/support/faqs/s...th-panel-data/). However, because I am using ppmlhdfe in the second stage some observations are dropped. My question is about "forcing" bootstrap to respect the singleton that has been dropped from ppmlhdfe.
i) Am I supposed to do that, right? (respect the singletons);
ii) How could I make the bootstrap respect it?
Thank you in advance!
Kind regards,
Mauricio.
