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Re: st: Reference for clustered standard errors in Stata


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Reference for clustered standard errors in Stata
Date   Mon, 6 May 2013 10:07:34 -0400

Tobias Pfaff <tobias.pfaff@uni-muenster.de>:
Up to you--Rogers 1993 was the first Stata implementation, but he
cites Huber 1967 as the source, as does the page Stata provides:
http://www.stata.com/support/faqs/statistics/references/
though Eicker also contributed in 1967, and Kish made some
contributions in 1965.

On Sat, May 4, 2013 at 11:29 AM, Tobias Pfaff
<tobias.pfaff@uni-muenster.de> wrote:
> 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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