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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 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.
>
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