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Re: st: Using A-Weights and Robust Clustered Standard Errors with Suest Command

From   Maarten buis <[email protected]>
To   [email protected]
Subject   Re: st: Using A-Weights and Robust Clustered Standard Errors with Suest Command
Date   Sun, 21 Sep 2008 08:04:10 +0100 (BST)

The following two sentences from the help-file of -suest- seem to
answer you questions:

    "If weights are applied, the same weights (type and values) should
    be applied to all models in namelist.  The estimators should be
    estimated without vce(robust) or vce(cluster clustvar) options." 

-- Maarten

BTW, Yulia explained to you here that using
-aweights- is not appropriate for -logit-. So you should another type
of weight instead (probably pweights). Read section 11.1.6 of the
User's Guide to see which type of weights is appropriate.

--- L S <[email protected]> wrote:
> I have a data-set with a binary dependent variable.  A colleague
> suggested doing a Hausman test to analyze whether a logit
> specification was appropriate.  I don't think I can just use the
> Hausman command (both of the weighted and unweighted are inconsistent
> if the null hypothesis is false)�when I do, the resulting chi-squared
> statistic is sometimes negative.  So instead I am trying to use the
> suest command.  I would like to use robust clustered standard errors.
> The basic code I would like to run is (I use `version 9.0' so I can
> use weights for logit):
> version 9.0
> logit y x
> est store unweighted
> logit y x [aw=wt]
> est store weighted
> suest unweighted weighted, robust cluster(country)
> ttest, common
> I use cluster(country) with 'suest' command instead of the 'logit'
> command as instructed on the suest help file.  However, it appears
> 'suest' does not like the robust option, returning the error:
> unweighted was estimated with a non-standard vce (Robust)
> Even when I leave out robust and cluster, STATA still doesn't seem to
> like that I'm using suest comparing weighted and unweighted
> estimates:
> . suest unweighted weighted, cluster(country)
> inconsistent weighting types

Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room N515

+31 20 5986715

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