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: RE: Reference for clustered standard errors in Stata


From   "Seed, Paul" <paul.seed@kcl.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: Reference for clustered standard errors in Stata
Date   Tue, 7 May 2013 15:54:25 +0000

Thank you to Tobias Pfaff for this.  
I think the description of the Rogers article can be amplified:
Several versions of the method were available in Stata before the article; 
but the default option did not use a finite sample adjustment.
Rogers (1993) determined the best adjustment, and after his article 
Stata adopted it as standard.  Doe that count as incorporation?

I usually use the Rogers reference, as it explains the precise method;
even though it was published in Stata Technical Bulletin, SJ's predecessor, 
which was not a peer-reviewed journal.

Reference:
Rogers WH (1993), Regression standard errors in clustered samples.  
Stata Technical Bulletin 13: 19-23



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


Paul T Seed, Senior Lecturer in Medical Statistics, 
Division of Women's Health, King's College London
Women's Health Academic Centre, King's Health Partners 
(+44) (0) 20 7188 3642.




*
*   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