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Yuna1
Fluorite | Level 6

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

7 REPLIES 7
PGStats
Opal | Level 21

Please fix your first link

 

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PG
Yuna1
Fluorite | Level 6

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

Rick_SAS
SAS Super FREQ

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/

 

Yuna1
Fluorite | Level 6

Thank you for the additional information!

sumelioni
Calcite | Level 5

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.

Yuna1
Fluorite | Level 6

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

sumelioni
Calcite | Level 5
OK, thanks for replying so quickly. I may just have to use Stata to
address this.

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