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st: Using A-Weights and Robust Clustered Standard Errors with Suest Command


From   "L S" <lts40301@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Using A-Weights and Robust Clustered Standard Errors with Suest Command
Date   Sat, 20 Sep 2008 20:01:01 -0700

Hello,

I have a data-set with a binary dependent variable.  A colleague
suggested doing a Hausman test to analyze whether a logit
specification was appropriate.  I don't think I can just use the
Hausman command (both of the weighted and unweighted are inconsistent
if the null hypothesis is false)—when I do, the resulting chi-squared
statistic is sometimes negative.  So instead I am trying to use the
suest command.  I would like to use robust clustered standard errors.
The basic code I would like to run is (I use `version 9.0' so I can
use weights for logit):

version 9.0
logit y x
est store unweighted
logit y x [aw=wt]
est store weighted

suest unweighted weighted, robust cluster(country)
ttest, common

I use cluster(country) with 'suest' command instead of the 'logit'
command as instructed on the suest help file.  However, it appears
'suest' does not like the robust option, returning the error:

unweighted was estimated with a non-standard vce (Robust)

Even when I leave out robust and cluster, STATA still doesn't seem to
like that I'm using suest comparing weighted and unweighted estimates:

. suest unweighted weighted, cluster(country)
inconsistent weighting types

Is there any way that I can do a Suest Hausman test with robust
clustered standard errors, comparing a weighted versus an unweighted
regression?

Thanks a lot.

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