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st: Cluster-correlated robust variance estimator for M regression


From   James Shaw <shawjw@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Cluster-correlated robust variance estimator for M regression
Date   Tue, 13 Oct 2009 10:40:43 -0500

Dear Statalist Members:

I am interested in fitting a regression model using the M estimator
(-rreg- in Stata) to longitudinal data.  I would like to apply the
cluster-robust variance estimator to account for arbitrary
intraclass/intracluster correlation.  Is there any way to derive
cluster-robust
variance estimates for M estimates short of using the jackknife or
bootstrap?  I'd like to avoid resampling procedures if possible.
-rreg- does not allow for the prediction of scores.  Otherwise, I
would use _robust or -suest- or do the necessary programming myself.

Thank you for your assistance.

Regards,

James W. Shaw, Ph.D., Pharm.D., M.P.H.
Assistant Professor
Department of Pharmacy Administration
College of Pharmacy
University of Illinois at Chicago
833 South Wood Street, M/C 871, Room 252
Chicago, IL 60612
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