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Re: st: size of cluster robust SEs relative to regular SEs


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: size of cluster robust SEs relative to regular SEs
Date   Wed, 27 Oct 2010 18:20:07 -0400

On Wed, Oct 27, 2010 at 6:13 PM, David Quinn <dxquinnx@gmail.com> wrote:
> I am running a series of logit and multinomial logit models using
> STATA and have very strong reason to suspect some clustering on a
> particular indicator.  Hence, I ran the models with regular standard
> errors and with cluster robust standard errors and compared the two.
> I do have a small sample problem, but if that was the main issue,
> wouldn't the size of ALL of the robust standard errors display the
> same biased directionality relative to the size of the regular
> standard errors?

With a couple dozen clusters or less, this may well be the issue. The
direction of the change in the SEs may also depend on the ICC of the
regressors within these clusters.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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