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st: linear regression with cluster() and dummies for cluster-membership ?


From   "Kai Arzheimer" <kai.arzheimer@politik.uni-mainz.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: linear regression with cluster() and dummies for cluster-membership ?
Date   Fri, 21 Nov 2003 14:43:24 +0100

Dear all,
I want to model the self-stated propensity to vote for parties of the
extreme right in seven European countries by fitting a linear regression
model.
The dependent variable is assumed to be affected by gender, age,
education and church-involvement. Theory suggests that the level of the
dependent variable as well as the effect of church-involvement are
country-specific. Therefore I included country-dummies as well as
interactions between country-dummies and church-involvement. The result
is this:

.xi:regress xrprob female age educat i.country*churchat ,robust

				Robust
xrprob		Coef.	Std. 	Err.		t
(stuff deleted)
female		-.2281458	.0545067	-4.19
_Icountry_2		2.746436	.7298551	3.76
(stuff deleted)
churchatt		.1102863	.1467994	0.75
_IcounXch		-.6626895	.2569513	-2.58
(stuff deleted)

However, my observations are not fully independent since respondents
from the same country are prone to be affected by country-specific
factors not in the model. I therefore tried

. xi:regress xrprob female age educat i.country*churchat ,robust
cluster(country)

While the standard error for gender is a bit bigger now, the standard
errors for the country-dummies, the interaction and even for the
church-involvement variable are much, much smaller:

		Robust
xrprob		Coef.		Std. Err.	t
(stuff deleted)
female		-.2281458	.0619557	-3.68
_country_2		2.746436	.020654	132.97
(stuff deleted)
churchatt		.1102863	.0095317	11.57
(stuff deleted)
_IvcounXch		-.6626895	.0091083	-72.76

Which standard errors should I trust? And more in general: Is it a
stupid idea to use the cluster()-Option in conjunction with variables
that indicate cluster-membership?
Thanks,
Kai


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