*! version 1.0 30Jul2019

Title

sob -- Second-Order Bootstrap Standard Error Correction

Syntax

sob
[depvar]
[indepvars]
[, options]

Main
reps How many bootstrap iterations to use (default 400)

Description

sob creates heteroskedasticity robust standard errors for finite samples.

Remarks

sob may be used after running a regression command or as a regression command.
The output includes the virtual standard errors and p-values
(robust in finite samples).

Example

Setup

. sysuse auto, clear

. regress price mpg weight foreign turn

. sob, reps(500)

Alternate Syntax

. sysuse auto, clear

. sob price mpg weight foreign turn, reps(500)

Stored results

In addition to the results saved by the bootstrap command, sob stores the following in e():

Matrices

e(se_virtual) virtual standard errors from second-order bootstrap

Note: e(V) will be replaced by the bootstrapped variance covariance
matrix after running sob. Post estimation testing (e.g., using test
or testnl) will use the bootstrapped variance matrix instead of the
second-order corrected variance matrix.

References

Hausman, J. and Palmer, C. 2012. Economic Letters. vol. 116: 232-235

Author

Original code by Christopher Palmer, adapted by Jonathan Jensen

For questions or to report problems, contact Jonathan Jensen

E-mail: jonathanjens@gmail.com.

Also see

bootstrap