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From |
"Jost Heckemeyer" <Heckemeyer@zew.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
Antw: Re: Re: st: Clustered standard errors: Insufficient observations |

Date |
Sat, 14 May 2011 23:42:47 +0200 |

ok, thanks, I think I got it, if I tell stata to cluster within say, 50 countries, the DoF is 50-1, and if in addition, I estimate xtreg with firm fixed effects (15,000 firms), then there is not sufficient DoF to correctly estimate the model parameters, mse etc. with 15000 fixed effects. Is this the idea? Thanks again, Stas. >>> Stas Kolenikov 14.05.11 14.56 Uhr >>> On Sat, May 14, 2011 at 1:45 PM, Jost Heckemeyer wrote: > The "generally recommened" referred to the example I gave, i.e. I have > cross-country data where several 100s and 1000s of firms are clustered > within several dozens of countries, so clustering and the country level > would indeed make sense, as you write it, Stas. Still, it does not work > although and I cannot see any reason why it doesn t. The technical reason is that your degrees of freedom is the number of clusters. If you have fixed effects, you consume all of these degrees of freedom just by the fixed effects/country dummies, and you don't have anything left to produce standard errors on your coefficients of interest. -- 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/ Zentrum für Europäische Wirtschaftsforschung GmbH (ZEW), L7,1 68161 Mannheim Sitz der Gesellschaft: Mannheim Amtsgericht Mannheim HRB 6554 Aufsichtsratsvorsitzender: Gerhard Stratthaus MdL, Finanzminister a.D. Geschaeftsfuehrer: Prof. Dr. Dr. h.c. mult. Wolfgang Franz, Thomas Kohl Centre for European Economic Research L7,1 68161 Mannheim Germany Seat of the Company: Mannheim Local Court Mannheim HRB 6554 Chairman of the Supervisory Board: Gerhard Stratthaus MdL, Minister, ret. Executive Directors: Prof. Dr. Dr. h.c. mult. Wolfgang Franz, Thomas Kohl -------------------------------------------------------------------------------- * * 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: Re: Re: st: Clustered standard errors: Insufficient observations***From:*Stas Kolenikov <skolenik@gmail.com>

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