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Re: st: Robust variances


From   Mark Schaffer <[email protected]>
To   [email protected], Scott Merryman <[email protected]>
Subject   Re: st: Robust variances
Date   Sat, 24 May 2003 08:33:24 +0100 (BST)

Scott et al.,

Quoting Scott Merryman <[email protected]>:

> ----- 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
> >
> 
> 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
> http://www.stata.com/support/faqs/stat/robust_ref.html
> 
> 
> 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.
> "
> 
> Scott

I didn't know about that.  The FAQ is wrong, I think.  White (1984), 
Asymptotic Theory for Econometricians, pp. 135-36, proposes what we are 
calling cluster-robust SEs.  The White (1980) reference in the FAQ is just 
the standard robust SEs reference.

--Mark


Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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