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st: cluster issues: var in the regression and wald chi2 for probit


From   Luca Fumarco <luca.fumarco@lnu.se>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: cluster issues: var in the regression and wald chi2 for probit
Date   Thu, 8 Dec 2011 16:22:02 +0100

Dear Statalister

I have a couple of questions:

->when I cluster on a variable, this variable has to be omitted from the regression?
ex.
xi: hetprob callback experiment Immig i.occupation, het(Immig) nolrtest vce(cluster occupation)
(where occupation is an ordered variable)

->when I do so, Stata warns me that "chi2 model statistic has been reported as missing" (see the dot after Wald chi2)

. xi: probit callback Immig experiment i.occupation, vce(cluster occupation)
i.occupation      _Ioccupatio_1-11    (naturally coded; _Ioccupatio_1 omitted)

Iteration 0:   log pseudolikelihood = -3339.5215  
Iteration 1:   log pseudolikelihood = -2982.5088  
Iteration 2:   log pseudolikelihood = -2979.2551  
Iteration 3:   log pseudolikelihood = -2979.2543  
Iteration 4:   log pseudolikelihood = -2979.2543  

Probit regression                                              Number of obs   =       5612
                                                                         Wald chi2(1)    =          .
                                                                         Prob > chi2     =          .
Log pseudolikelihood = -2979.2543                 Pseudo R2       =     0.1079


Amongst the explanations that Stata gives me, the most likely is in: "Are you using a svy estimator or did you specify the vce(cluster clustvar) option?"
However, I do not understand what I should do now: no cluster? omit the i.occupation (and so also the xi:)?



Luca Fumarco

Ph.D. Student
Linnæus University
School of Business and Economics

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