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Re: st: intreg and missing standard errors


From   Mark Schaffer <[email protected]>
To   [email protected], Adrienne Lucas <[email protected]>
Subject   Re: st: intreg and missing standard errors
Date   Sun, 18 Jan 2004 13:04:04 +0000 (GMT)

Adrienne,

How many clusters do you have?  And do you have any clusters with only one 
observation in them?

For clustered standard errors to work, you need a respectable number of 
clusters.  For example, for the asymptotics to work, the number of 
clusters has to go off to infinity.

You can also run into problems if a cluster has only one observation.  In 
a simple linear regression this will mean only that you won't be able to 
calculate an F-stat (at least, this is my understanding of Vince Wiggins' 
posting to Statalist some months ago), but perhaps it can generate other 
problems in intreg.

--Mark

Quoting Adrienne Lucas <[email protected]>:

> When I run the intreg command, some of the standard errors are
> replaced
> with "." indicating a missing, I assume.
> 
> Here's my command line:
> intreg educ1 educ2 citychild v101_* if nonmover==1
> [weight=weight],
> cluster(v101)
> Depending on the exact specification, all of the SEs show up, or up
> to 4
> of them are missing.
> 
> I'm running intreg to estimate a tobit model with clustered
> standard
> errors.  When I run the model with the just the tobit command, all
> of
> the standard errors appear, but of course they're not correctly
> clustered.
> 
> As a secondary question, assuming that I can get stata to calculate
> all
> of the standard errors, is it possible to get the standard errors
> adjusted to become the marginal standard errors similar to the ones
> that
> are calculated using dtobit?
> If this is not possible, is there some other way to get clustered
> standard errors when running a tobit besides intreg?
> 
> I'm running Stata 7.0 on Windows XP.
> 
> Thanks!!
> Adrienne
> 
> Adrienne Lucas
> Economics Department
> Brown University
> 
> 
> 
> *
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> 



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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