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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 28 Oct 2010 11:21:57 -0400 |

On Thu, Oct 28, 2010 at 11:08 AM, David Quinn <dxquinnx@gmail.com> wrote: > 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? Something like that. You have an interplay of the regression error ICCs, regressor ICCs, and the ICCs of the combination x'e (while E[x'e] = 0, it is a random vector with its own covariance). Depending on the magnitudes of those ICCs and the severity of the small sample issues, it can go either way. With larger # of clusters, you would expect the standard errors to go up. -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/

**Follow-Ups**:**Re: st: size of cluster robust SEs relative to regular SEs***From:*David Quinn <dxquinnx@gmail.com>

**References**:**st: size of cluster robust SEs relative to regular SEs***From:*David Quinn <dxquinnx@gmail.com>

**Re: st: size of cluster robust SEs relative to regular SEs***From:*Stas Kolenikov <skolenik@gmail.com>

**Re: st: size of cluster robust SEs relative to regular SEs***From:*David Quinn <dxquinnx@gmail.com>

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