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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 18:26:47 -0400 |

No, the dummies actually vary quite a bit across clusters, so that's not an issue. On Thu, Oct 28, 2010 at 3:15 PM, Stas Kolenikov <skolenik@gmail.com> wrote: > On Thu, Oct 28, 2010 at 2:34 PM, David Quinn <dxquinnx@gmail.com> wrote: >> Thanks again, Stas. I fear that this small N problem is really >> trapping me, then. >> >> I do notice that the most significant amount of fluctuation in >> directionality occurs with a suite of dummy variables that were >> constructed out of a categorical variable, wherein I excluded all but >> one of the dummies to prevent perfect collinearity. Hence, by their >> nature, each of the dummies in the suite contain more zeroes than >> ones. Not sure if the fluctuation in that regard is natural or not. > > If those dummies are concentrated in particular clusters, then yes, > you are in big trouble with them. In the extreme case, if you had > cluster indicators, then you would have zero d.f.s to estimate > variance. If your dummy spans say three clusters, then you have > something like two degrees of freedom for that particular parameters > (and a lousy variance estimator on top of it). If the dummies are > scattered kinda randomly across clusters, then it is not that bad. > > -- > 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/ > * * 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/

**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>

**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>

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

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