Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Clustering Standard Errors.


From   Nils Braakmann <nilsbraakmann@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Clustering Standard Errors.
Date   Tue, 15 Jun 2010 09:11:18 +0200

Ah, thanks Austin. I didn't know that.

On Mon, Jun 14, 2010 at 11:25 PM, Austin Nichols
<austinnichols@gmail.com> wrote:
> Nils Braakmann <nilsbraakmann@googlemail.com> :
> No, not the same. The group() approach uses a much more restrictive
> assumption about independence of errors, and that VCE is actually an
> ingredient of the two-way cluster-robust VCE.  Quoting from
> http://fmwww.bc.edu/repec/bocode/i/ivreg2.html :
>
> The two-way clustered variance-covariance estimator is
> calculated using 3 different VCEs: one clustered on varname1, the second
> clustered on varname2, and the third clustered on the intersection of varname1
> and varname2.  Cameron et al. (2006, pp. 8-9) discuss two possible small-sample
> adjustments using the number of clusters in each category.  cgmreg uses one
> method (adjusting the 3 VCEs separately based on the number of clusters in the
> categories VCE clusters on); ivreg2 uses the second (adjusting the final 2-way
> cluster-robust VCE using the smaller of the two numbers of clusters).
>
> Whether or not you should use one approach or another depends on many
> things, including your own most plausible theories about independence
> of errors and the number of clusters in each dimension; see
> http://www.stata.com/meeting/boston10/abstracts.html#baum
>
> On Mon, Jun 14, 2010 at 3:19 PM, Nils Braakmann
> <nilsbraakmann@googlemail.com> wrote:
>> Hi Natasha,
>>
>> I guess the two approaches should give identical results (although I'm
>> not sure how two-way clustering is implemented in e.g. xtivreg2). The
>> -egen ... group()- approach essentially creates all possible
>> combinations of (in your case) industry and region and clusters on
>> that. In my understanding, two way clustering should do the same.
>>
>> Best,
>> Nils
>>
>> On Mon, Jun 14, 2010 at 4:50 PM, natasha agarwal
>> <agarwana2@googlemail.com> wrote:
>>> Thanks Nils.
>>>
>>> How would you know whether you need to do two-way clustering or
>>> generate a cluster variable?
>>>
>>> Thanks
>>> Natasha
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index