topic Wild Cluster Bootstrap command in SAS (regression with few clusters) in SAS Forecasting and Econometrics

Wild Cluster Bootstrap command in SAS (regression with few clusters)

Yuna1 — Tue, 12 Sep 2017 20:14:46 GMT

Hello,

I am trying to run some regressions with clustered data. That is, i have a dataset with about 60,000 observations of unique individuals who belong to about 15 clusters. I would like to correct my regression estimates for the fact that errors are very likely correlated among individuals who belong to the same cluster. Cameron, Gelbach, and Miller (2008) suggest the use of the wild cluster bootstrap procedure to address the situations where there are only a few clusters (working paper: https://www.econstor.eu/bitstream/10419/31404/1/514886757.pdf)

I am wondering if anyone knows the code that should be used to implement the wild cluster bootstrap procedure for regressions in SAS? I understand that the equivalent Stata code is cgmwildboot (source: https://sites.google.com/site/judsoncaskey/data)

I am using SAS version 9.4 on Windows.

Any thoughts or suggestions are greatly appreciated!

Many thanks in advance,

Yuna

Re: Wild Cluster Bootstrap command in SAS (regression with few clusters)

PGStats — Tue, 12 Sep 2017 19:58:59 GMT

Please fix your first link

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Re: Wild Cluster Bootstrap command in SAS (regression with few clusters)

Yuna1 — Tue, 12 Sep 2017 20:15:52 GMT

Thanks for pointing that out! I've updated the link (hopefully it works). If not, I've attached the published paper to the original thread.

Thank you!

Yuna

Re: Wild Cluster Bootstrap command in SAS (regression with few clusters)

Rick_SAS — Tue, 26 Sep 2017 18:07:22 GMT

I haven't implemented the wild bootstrap in any publically available code, but you can see the main ideas of coding bootstrap methods in SAS in a series of 2016-2017 articles at

https://blogs.sas.com/content/tag/bootstrap-and-resampling/

Re: Wild Cluster Bootstrap command in SAS (regression with few clusters)

Yuna1 — Tue, 26 Sep 2017 18:17:15 GMT

Thank you for the additional information!

Re: Wild Cluster Bootstrap command in SAS (regression with few clusters)

sumelioni — Wed, 09 May 2018 19:14:17 GMT

Hi Yuna,

I am currently trying to use the wild cluster bootstrap procedure. Have you found (or anyone else know of) code to do this in SAS?

Any help would be much appreciated.

Re: Wild Cluster Bootstrap command in SAS (regression with few clusters)

Yuna1 — Wed, 09 May 2018 19:36:55 GMT

Hello,

Unfortunately no, I wasn't able to find any specific code for the Wild Cluster Bootstrap procedure. There may be some information in the links provided by the other users above. So far, I only know that this capability is built in to Stata, but this may not be very helpful considering we are on the SAS message board. 🙂

I apologize that I'm not able to offer much more help on this!

Best of luck,

Yuna

Re: Wild Cluster Bootstrap command in SAS (regression with few clusters)

sumelioni — Wed, 09 May 2018 20:01:59 GMT

OK, thanks for replying so quickly. I may just have to use Stata to
address this.