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Re: Re: Re: st: Clustered standard errors: Insufficient observations


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: Re: st: Clustered standard errors: Insufficient observations
Date   Sat, 14 May 2011 19:00:31 -0500

On Sat, May 14, 2011 at 4:42 PM, Jost Heckemeyer <Heckemeyer@zew.de> wrote:
> 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.

Yep, that's the idea. Fifty d.f.s is a little bit too small for 15K
conditioning parameters.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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