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  • 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?


  • #2
    Just bumping the post in case someone can help.

    Thank you

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    • #3
      Before we solve this problem, talk to me about your design and why you need this technique. What's your research question?

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