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st: AW: question about cluster() option in regression


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: question about cluster() option in regression
Date   Thu, 12 Feb 2009 16:30:30 +0100

<> 


Baum(2006), p.138-139 is a possible reference. See
http://www.stata-press.com/books/imeus.html
The reference probably will not support your suspicion that the -cluster-
vce estimator is "improper", though. Official Stata is in my experience
quite careful when it comes to new and unproven methods, so it is probably
safe to assume that -cluster()- is indeed proper statistics...



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von ronggui
Gesendet: Donnerstag, 12. Februar 2009 16:11
An: statalist@hsphsun2.harvard.edu
Betreff: st: question about cluster() option in regression

Hi all,

When the data is clustered rather then independent, there are many
possible ways to handle it such as dummy variable, panel data models
(fixed or random effects), GEE and multilevel model (e.g.
http://www.gseis.ucla.edu/courses/ed230bc1/notes3/cluster.html). Of
course, cluster() option of reg is one quick choice too. Yet, I have
noticed that the result (especially coef) from reg differs that from
multilevel model. Furthermore, this kind of adjustment is rare in
other statistical software. All of this makes me cast doubt on the
practices of regression with cluster() option in the Stata way. I
wonder if there is paper on this, especially if  this adjustment is
proper or improper? Besides, can we predict the change of level of
significance by using cluster()? Thanks in advance.

Best
-- 
HUANG Ronggui, Wincent
Tel: (00852) 3442 3832
PhD Candidate
Dept of Public and Social Administration
City University of Hong Kong
Homepage: http://ronggui.huang.googlepages.com/
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