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Re: st: Non-nested clusters


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Non-nested clusters
Date   Sun, 27 Sep 2009 13:39:42 -0400

Bert Jung <bjung59@gmail.com>:
No, clustering by state allows for serial correlation within state,
but clustering by state-year combination does not.  You cannot do
two-way clustering with two years (equivalent to having two clusters
in the time dimension), either.

On Sun, Sep 27, 2009 at 12:52 PM, Bert Jung <bjung59@gmail.com> wrote:
> Thanks Austin.  In principle, assuming the number of states is
> sufficiently "large", wouldn't it be sensible to cluster on both
> variables?  If so is creating a new variable with the each state-year
> combination the right way forward?
>
> Thanks,
> Bert
>
>
> On Sun, Sep 27, 2009 at 8:26 AM, Austin Nichols <austinnichols@gmail.com> wrote:
>> Bert Jung <bjung59@gmail.com>:
>> You should use vce(cluster state) rather than
>> egen g=group(state year)
>> reg y x, vce(cluster g)
>> assuming you have 51 or so clusters with the first method.
>>
>>
>> On Sun, Sep 27, 2009 at 12:15 AM, Bert Jung <bjung59@gmail.com> wrote:
>>> Dear Statalisters,
>>>
>>> I have a repeated cross-section of individuals in states (2 time
>>> periods) and want to run a difference in difference with state-year
>>> clusters.  Since these cluster variables are not nested, how can I
>>> include this in -vce(cluster XX)-?
>>>
>>> Cheers,
>>> Bert
>>
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