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Re: st: Robust variances

From   "Scott Merryman" <[email protected]>
To   <[email protected]>
Subject   Re: st: Robust variances
Date   Fri, 23 May 2003 19:16:07 -0500

----- Original Message ----- 
From: "Mark Schaffer" <[email protected]>
To: <[email protected]>; "Constantine Daskalakis"
<[email protected]>
Sent: Friday, May 23, 2003 6:44 PM
Subject: Re: st: Robust variances

> Minor point in passing - the Stata manuals refer to Rogers (1993) as the
> source for the cluster-robust approach (I think he used to work at Stata
> Corp) but as far as I can tell, Hal White should get the credit - it's
> described in his 1984 book Asymptotic Theory for Econometricians.
> --Mark


There is a FAQ on this: "Which references should I cite when using the
cluster() option to obtain Stata's cluster-correlated robust estimate of
variance?" at

Their short answer is:

"Rogers, W. H. 1993. "Regression standard errors in clustered samples."
Stata Technical Bulletin 13: 19-23. Reprinted in Stata Technical Bulletin
Reprints, vol. 3, 88-94.

Williams, R. L. 2000. "A note on robust variance estimation for
cluster-correlated data." Biometrics 56: 645-646.

And the longer answer includes:

Huber, P. J. 1967. "The behavior of maximum likelihood estimates under
nonstandard conditions."  In Proceedings of the Fifth Berkeley Symposium on
Mathematical Statistics and Probability. Berkeley, CA: University of
California Press, vol. 1, 221-223.

White, H. 1980. "A heteroskedasticity-consistent covariance matrix estimator
and a direct test for heteroskedasticity." Econometrica 48: 817-830. "


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