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st: cluster() and robust option

From   Kit Baum <>
Subject   st: cluster() and robust option
Date   Tue, 16 Aug 2005 11:20:16 -0400

Jamie said

I am afraid I don't know the answer to your questions as I am a very new
STATA user. However, I note that you talk about the sandwich / Huber /
White variance estimator. I am working with a national dataset and a
binary outcome. Many of the small areas that I am investigating have
only one respondent.

I am using xtlogit to investigate area effects and I am wondering
whether the sandwich estimator improves the estimates of the effects and
whether I should / could use this with xtlogit?

I do not believe that robust or vce(robust) is an option compatible with xtlogit using the default random-effects specification:

. xtlogit bin mvalue kstock, robust
robust invalid

I don't have my full documentation handy, but I do not think sandwich is available here.

Not my area of expertise, but if you have geographic areas with small number of respondents per area, shouldn't you be using survey methods such as svy: logit ? Unless you have a timeseries from a single respondent xtlogit is surely not the right tool for the job. But if you have some information about the sampling of individuals from regions, it would seem that the svy: commands would be appropriate.

Kit Baum, Boston College Economics

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