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


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: question about cluster() option in regression
Date   Fri, 13 Feb 2009 07:34:47 -0500

<>
Cameron and Trivedi, MUS, Stata Press 2009, is an excellent reference for the subject of cluster-robust covariance matrices and the difficulties that arise when clustering effects are ignored.

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Feb 13, 2009, at 02:33 , Martin wrote:


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...

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