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Re: st: Variance estimation with clusters


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Variance estimation with clusters
Date   Thu, 8 Nov 2007 10:16:54 -0500

Maury Gittleman <Gittleman.Maury@bls.gov>:
Just clustering on establishment is probably sufficient.

You can also specify two levels of clustering with -svyset- e.g.

webuse stage5a
svyset su1 [pweight=pw], fpc(fpc1) || su2

where su1 is your establishment id, fpc1 the number of distinct
employees in both years, and su2 is a person id.

Usually the second level of clustering is largely irrelevant.  But not always...

svyset su1 [pweight=pw], fpc(fpc1) strat(strat)
svy: reg yreg x?
est sto c1lev
svyset su1 [pw=pw], fpc(fpc1) str(str) || su2, fpc(fpc2)
svy: reg yreg x?
est sto c2lev
esttab *, mti


On 11/8/07, Gittleman, Maury - BLS <Gittleman.Maury@bls.gov> wrote:
> Hello,
>
> I'm have a question concerning stata's approach to estimating standard
> errors in the presence of clustered survey data.  The survey I'm using
> collects information on individual wages, by first selecting
> establishments at random, and then collecting information on multiple
> workers within each establishment.  So, it is clear that, when I'm
> running regressions, I need to cluster on establishment.
>
> My question arises when I use two years of data from the same survey.
> For about 4/5 of the individuals, there will be data for two years, and
> I would expect that the correlation between the errors for any given
> individual will be higher than the correlation between the errors for
> two different individuals at the same establishment.  My thinking is
> that I still want to define clusters by establishments, as the variance
> estimation is said to be robust to any arbitrary intra-cluster
> correlation.
>
> Is this the right way to go or is there an alternative approach that
> might be superior?
>
> Thanks very much.
>
> Maury
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