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st: RE: Reference for clustered standard errors in Stata


From   "Tobias Pfaff" <tobias.pfaff@uni-muenster.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Reference for clustered standard errors in Stata
Date   Sun, 5 May 2013 17:52:03 +0200

I now found a paragraph in Cameron & Miller (2011) that nicely describes the
differences:

"White (1984, p.134-142) presented formal theorems that justify use of
formula 1.7 for OLS with a multivariate dependent variable, a result
directly applicable to balanced clusters. Liang and Zeger (1986) proposed
this method for estimation for a range of models much wider than OLS; see
sections 6 and 7 of their paper for a range of extensions to formula 1.7.
Arellano (1987) considered the fixed effects estimator in linear panel
models, and Rogers (1993) popularized this method in applied econometrics by
incorporating it in Stata."

I guess that's all I wanted to know. The correct reference for the formula
implemented in Stata seems to depend on the specific model that is estimated
(OLS, fixed effects, etc.). Sorry for bothering Statalist with a question
that I eventually could answer myself. But maybe it's of use for others as
well.

Regards,
Tobias 

Reference:
Cameron, C.A., Miller, D.L., 2011, Robust Inference with Clustered Data. In:
A. Ullah, D.E.A. Giles (Eds.). Handbook of Empirical Economics and Finance.
Taylor & Francis, Boca Raton, pp. 1-28.


-----Ursprüngliche Nachricht-----
Von: Tobias Pfaff [mailto:tobias.pfaff@uni-muenster.de] 
Gesendet: Samstag, 4. Mai 2013 17:30
An: statalist@hsphsun2.harvard.edu
Betreff: Reference for clustered standard errors in Stata

Dear Statalisters,

What is the correct reference for the formula used by Stata for clustered
standard errors?

I didn't find anything in the documentation and I find different references
in the literature. For example:
White (1984), Liang and Zeger (1986), Arellano (1987), Rogers (1993)

Does anybody know what I should cite?

Thanks very much,
Tobias

References:
White, Halbert. 1984. "Asymptotic Theory for Econometricians" Orlando, FL:
Academic Press.
Liang, Kung-Yee, and Scott L. Zeger. 1986. "Longitudinal Data Analysis Using
Generalized Linear Models." Biometrika, 73: 13-22.
Arellano, Manuel. 1987. "Computing Robust Standard Errors for Within-Groups
Estimators." Oxford Bulletin of Economics and Statistics,
49: 431-34.
Rogers, William H. 1993. "sg17: Regression standard errors in clustered
samples." Stata Technical Bulletin 13: 19-23.


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