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Re: st: How to test to heteroskedasticity after -vce(cluster clusvar)- command?


From   Federico Belotti <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: How to test to heteroskedasticity after -vce(cluster clusvar)- command?
Date   Sat, 24 Aug 2013 18:15:18 +0200

When the regression errors are correlated within groups the assumption of independent errors will be violated and the unadjusted OLS standard errors often have a substantial downward bias. -vce(cluster clusvar)- usually solves this issue allowing a valid inference. See for example

Moulton, Brent R., 1986. "Random group effects and the precision of regression estimates," Journal of Econometrics, vol. 32(3), pages 385-397.

So, once you have clustered your standard errors in the right way (Do you have a multiple-clustering structure in your data? see Baum, Schaffer & Stillman's -ivreg2- or Cameron, Gelbach & Miller -cgmreg-) you shouldn't need to test for heteroskedasticity in a linear regression framework.

Hope this helps

Federico 

Il giorno 24/ago/2013, alle ore 05:38, Ricky Lim <[email protected]> ha scritto:

> Dear Statalisters,
> 
> Hope you can provide some advices.
> 
> I ran a multiple linear regression using -vce(cluster clusvar)-
> command for my cross sectional survey data.
> 
> When I tried to use -hettest-,
> this appears:
> "hettest not appropriate after robust cluster()"
> 
> Does this mean that it is not necessary for me to test for
> heteroskedasticity after clustering my standard errors?
> Or is there another way to do it?
> 
> Could not find a similar question in the archive hence I posted it here.
> 
> Thank you very much in advanced.
> 
> Regards,
> Ricky
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