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XTHREG and Clustered Standard Error (with few Clusters)
XTHREG and Clustered Standard Error (with few Clusters)

Hello everyone,

I run a threshold regression following the Hansen(1999) paper and the code from Wang(2016) as follows:

The code I use is

xi: xthreg DD F1 G1 H1 I1 J1 i.year, rx(E1) qx(F1) thnum(1) grid(400) trim(0.1) bs(300) cluster(country)

However, my panel data contains only 15 countries (15 clusters) which is a low number. To correct for that I am interested in using something like Wild bootstrapping to produce bias-adjusted clustered standard errors.

To do so, I tried boottest and clustse and both of them seem to be incompatible with XTHREG.

Any suggestions what to do to deal with the fact that I have very few clusters?

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XTHREG and Clustered Standard Error (with few Clusters)

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Home / Data Cleaning / Data management / Data Processing / XTHREG and Clustered Standard Error (with few Clusters) XTHREG and Clustered Standard Error (with few Clusters)

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