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RE: st: When number of regressors greater than the number of clusters in OLS regression


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: When number of regressors greater than the number of clusters in OLS regression
Date   Mon, 1 Sep 2008 22:27:27 +0100

Steven, Divya,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Steven Samuels
> Sent: 01 September 2008 22:00
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: When number of regressors greater than the 
> number of clusters in OLS regression
> 
> Divya-
> 
> So, you have n = 436. Just remove State as a cluster variable 
> and continue with your modeling. You won't be troubled by the 
> limit on regressors again; just keep the number to <=44 (10% 
> of observations).

This is good advice if in fact there is no within-state correlation in
the disturbance.

Divya, is there any reason to suspect within-state correlation may
exist?

--Mark

> 
> Good luck!
> 
> -Steven Samuels
> 
> On Sep 1, 2008, at 4:22 PM, Divya Balasubramaniam wrote:
> 
> > Hello Dr. Steven,
> >
> > My dependent variable is:share of total number of households in a 
> > district having access to tap water. (I have the district totals)
> >
> > Divya.
> > =======================================
> > Divya Balasubramaniam
> > Economics PhD Student
> > Terry College of Business
> > University of Georgia
> > Athens -30602.
> >
> > From: Steven Samuels <sjhsamuels@earthlink.net>
> > Date: September 1, 2008 4:13:40 PM EDT
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: When number of regressors greater than the 
> number of 
> > clusters in OLS regression
> > Reply-To: statalist@hsphsun2.harvard.edu
> >
> >
> > Divya,
> > I reread your question and realize that you probably do not have 
> > sample data at all. The Census of India was not a sample at 
> all, but, 
> > ideally, was a 100% enumeration. (Just as in other countries, this 
> > will not be perfectly true.) So, I am not sure that you should be 
> > clustering on State, or even on district, for that matter.
> > Please reply with details about your observations. For 
> example, do you 
> > have information on individual households or just district totals?
> >
> > Regards,
> >
> > Steven
> >
> >
> > On Sep 1, 2008, at 1:05 PM, Steven Samuels wrote:
> >
> >> More basic questions, Divya:  What is your target population:  the
> >> 17 states (of India, perhaps?) or the entire country?  Were the 17 
> >> states selected from all states by a sampling process?  Or 
> were they 
> >> chosen in some other way--for example, because they had data 
> >> available.  Are all districts from the selected states in your 
> >> sample?
> >>
> >>
> >> -Steven
> >> On Sep 1, 2008, at 12:35 PM, Divya Balasubramaniam wrote:
> >>
> >>> Dear Dr.Schaffer,
> >>>
> >>> I am using clustering in my analysis and I am having some trouble 
> >>> understanding some of the important issues. I have read several 
> >>> papers you have written on clustering issues and hence I 
> am emailing 
> >>> you to seek help.
> >>>
> >>> I am doing a district level analysis for the census year 2001. I 
> >>> have 436 districts in total coming from 17 States. I run an OLS 
> >>> regression of Share of households having tap water access 
> on several 
> >>> controls variables (I have about 25 Regressors).  I use the STATA 
> >>> command areg Y on X, absorb(State) cluster(state). I have 
> the state 
> >>> fixed effects and clustered by State.
> >>>
> >>> My question is: I have more regresors(25) than the number of 
> >>> clusters(17). I also find in the STATA output that I have F-stat 
> >>> missing. I would like to seek your advice on whether I can make 
> >>> inference by looking at the individual coefficient 
> estimates and the 
> >>> reported robust Standard errors. I did see your comment on this 
> >>> issue on the STATA listserv. However, I could not find 
> answers as to 
> >>> how to fix this problem of having more regressors than 
> the number of 
> >>> clusters.
> >>>
> >>> I will be extremely thankful if you can kindly help me in this 
> >>> regard.
> >>> Sincerely,
> >>> Divya.
> >>> =======================================
> >>> Divya Balasubramaniam
> >>> Economics PhD Student
> >>> Terry College of Business
> >>> University of Georgia
> >>> Athens -30602.
> >>> *
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