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st: At which level should I cluster the standard errors in a linear regression?


From   Rüdiger Vollmeier <ruediger.vollmeier@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: At which level should I cluster the standard errors in a linear regression?
Date   Fri, 3 May 2013 14:20:32 +0200

Hello,

Ich have an observational dataset at hand (Household Survey,
cross-sectional, 2800 observations). I am wondering at which level I
should cluster the standard errors (e.g. household level (around 1500
observations), regional level (70 observations), state level (20
observations)) in a linear regression.

- reg depvar indepvar, cluster(cluster_level) -

How do I test the appropriatness of the level at which I cluster?

Kind regards,
Ruediger
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