Boottest after xtreg and reghdfe about boottest

[ArthurHowardMorris]

Denys,

Your problem is not related to the statalist discussion that you are linking to.

The issue is that boottest requires options that reghdfe does not provide. The following code replicates the error you are reporting:

webuse nlsw88
reghdfe wage ttl_exp collgrad tenure if occupation<., cluster(age) absorb(industry)
boottest tenure, cluster(age occupation) bootcluster(occupation) seed(999) nograph 

The error points out that the problem is incompatibility with reghdfe and not a bug in boottest:

option constraints not allowed
Error imposing null. Perhaps reghdfe does not accept the constraints(), from(), and iterate() options, as needed.
r(198);

Inspecting the trace of the boottest statement you can see that this error is thrown while reghdfe.Estimate is active. It seems that both programs are working as the respective authors intended (e.g. the boottest unit tests do not include reghdfe). The solution to this problem is something that would have to be implemented within the mata functions that power reghdfe, in the meantime you could replicate your results to use areg which works with boottest.

[diliasov]

Arthur,

Many thanks for your response.

I completely agree that it looks like an issue caused by the reghdfe and occurred after I updated the latter. Also, I was a bit surprised to see the same error after xtreg - now it works perfectly and I think the issue didn't relate to boottest.

Thanks for the idea with areg, I'll definitely try it.