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st: clustered standard errors


From   Robert Lineira <robert.lineira@uab.es>
To   statalist@hsphsun2.harvard.edu
Subject   st: clustered standard errors
Date   Thu, 29 Apr 2010 11:07:55 +0200

Dear all,

I found on the net a presentation by Austin
Nichols and Mark Schaffer on the net on clustered standard errors. After
reading it, some questions emerged to me on how to use them.

I want to run an analysis using a pool of 17 survey samples.
Supposedly, standard errors will be correlated within the
clusters, but the presentation advises that to use clustered
standard error might be a very bad solution. They suggest to perform some test before using the corrected
errors running 'cltest' and 'xtcltest' stata commands.
Unfortunately, I just found 'cltest' command, I am not sure
is the same they use given that is previous to the Kédzi
(2007) paper they quote.

My question is if anyone knows a test which I could use before
applying clustered standard errors and (if not) which
solution do you find better in a case such as this.

Regards

Robert.

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