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


From   David Quinn <dxquinnx@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: size of cluster robust SEs relative to regular SEs
Date   Thu, 28 Oct 2010 11:08:37 -0400

Thank you for the reply, Stas.

I do only have two dozen clusters, so perhaps that is driving the
issue. Maybe I am misunderstanding something, but I thought that if
this was the case, the cluster robust standard errors would all be
biased in the same way.  And by that I mean that all of the cluster
robust standard errors would either be: A.) Smaller than the regular
standard errors, or B.) Larger than the regular standard errors but
not as large as they should be.  Hence, they would be exhibiting
downward bias. But maybe I am wrong.

Anyhow, if it is a case of intra-cluster correlation that is driving
the issue instead, I am not sure what could be causing the alternating
change in directions, since the pattern is not consistent across all
regressors. Maybe it is a case of a mix of negative ICCs and positive
ICCs canceling each other out?

--David

On Wed, Oct 27, 2010 at 6:20 PM, Stas Kolenikov <skolenik@gmail.com> wrote:
>
> 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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