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st: Missing Wald test with -cluster- option


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: Missing Wald test with -cluster- option
Date   Mon, 28 Nov 2011 15:46:45 +0100

Hi:

Awhile back, Mark Schaffer replied to a post, regarding a missing Wald test when using the -robust- or -cluster(id)- option, noting:

http://stata.com/statalist/archive/2006-09/msg00840.html

Mark suggested that tests of individual parameters are still interpreted; however, joint tests (for all parameters) should not (as I guess that the test would not be trustworthy). If I remember correctly, he has mentioned this in the past as have other posters too, directly or indirectly.

What I was hoping for is a published referenced the fact that parameter tests are interpretable. Also, just wondering whether anyone has written anything the consequences of this problem (i.e., insufficient clusters) on tests of overidentification.

Best,
J.

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Prof. John Antonakis
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Department of Organizational Behavior
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