wbuchanan / TSCB-CCV

Two-Stage Cluster Bootstrap and Causal Cluster Variance for Stata

Two-Stage Cluster Bootstrap and Causal Cluster Variance for Stata

TSCB: Two-Stage Cluster Bootstrap

tscb.ado - A post estimation program to compute the standard error for OLS and FE estimators. We consider the case when $q_k=1$ and $\frac{1}{q_k}=c$ where $c$ can take integer or non-integer values. We follow algorithm 1 of Abadie et al (2022).

Syntax

tscb Y W M [if] [in], qk() seed() reps()

Where Y is an outcome variable, W a binary treatment variable and M a variable indicating the cluster. We provide an example using the data availble from the paper:

OLS and FE

use "data.dta"

* run TSCB
tscb Y W statenumber, qk(1) seed(2022) reps(150)

The code returns the following results

Two-Stage Cluster Bootstrap replications (150).
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
..................................................     50
..................................................     100
..................................................     150

Two-Stage Cluster Bootstrap (TSCB):
OLS  0.00362
FE   0.00144

CCV: Causal Cluster Variance

ccv.ado - A program to compute the standard error for OLS and FE estimators.

Syntax

ccv Y W M [if] [in], qk() pk() seed() reps()

Where Y is an outcome variable, W a binary treatment variable and M a variable indicating the cluster. We provide an example using the data availble from the paper:

OLS and FE

use "data.dta"

* run CCV
ccv Y W statenumber, qk(1) pk(1) seed(2022) reps(8)

The code returns the following results

Causal Cluster Variance with (8) sample splits.
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
........
Causal Cluster Variance (CCV):
OLS  0.00355
FE   0.00138

References

When Should You Adjust Standard Errors for Clustering?, Alberto Abadie, Susan Athey, Guido W Imbens, Jeffrey M Wooldridge, The Quarterly Journal of Economics, 2022.