Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: clustered SE smaller than


From   "JVerkuilen (Gmail)" <jvverkuilen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: clustered SE smaller than
Date   Thu, 21 Mar 2013 12:10:05 -0400

On Thu, Mar 21, 2013 at 11:22 AM, Robert G. LaChausse
<rlachaus@csusb.edu> wrote:

>
> My understanding is that the robust SE should be larger than the regular OLS
> SE. I found that the robust SE were actually a little smaller (ie .17
> regular SE and .14 robust SE). The cluster sizes range from 13 to 321. There
> are 22 clusters.

That's typically what happens but it's by no stretch of the
imagination required by robust standard errors. However I do worry a
bit about the hugely unbalanced cluster sizes, with the relatively
small number of clusters. That can create trouble.

You might want to try a clustered bootstrapping approach, which Stata
does very easily, because that depends much less on asymptotics. Just
make sure to boost the number of replications up to a larger value
(say 999).
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index