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RE: st: multi-way clustering in stcox
From
Herbert Schuetze <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: multi-way clustering in stcox
Date
Mon, 21 Mar 2011 12:24:11 -0700
I'm happy to be convinced.
I added the following to your example:
cgmreg lwage exp ed, cl(fake id)
and stata returned the same se's as your last command.
Thanks for the help!
Herbert Schuetze <[email protected]> :
The duplication should not matter if you are clustering at a higher
level. E.g. compare SEs here:
webuse psidextract, clear
g fake=id-mod(id,5)
reg lwage exp ed
reg lwage exp ed, cl(fake)
expand 2
reg lwage exp ed
reg lwage exp ed, cl(fake)
On Mon, Mar 21, 2011 at 2:34 PM, Herbert Schuetze <[email protected]> wrote:
> Thanks Austin,
>
> The problem is that the Lunn and McNeil approach requires that the data layout be altered such that each individual subject enters the data twice (once for each type of failure).
>
> I don't think this is the same as the nested setting that you suggest.
>
> Hopefully this works - signed up to digest version
>
> Herb
>
>
> Herbert Schuetze <[email protected]>:
> Are individuals nested within states? And do you have 50 or so states?
> If so, just cluster on state--the clustering on id comes for free.
>
> On Mon, Mar 21, 2011 at 1:55 PM, Herbert Schuetze <[email protected]> wrote:
>> Hi all,
>>
>> I am attempting to estimate a competing risks model in a Cox proportional hazard setting, similar to that suggested by Lunn and McNeil (1995). The problem I am encountering is that the procedure proposed by Lunn and McNeil requires one to utilize robust standard errors clustered on individual id numbers. At the same time, my data are generated such that I also need to cluster on State. The variable of interest is EI benefit levels similar to Chetty (2008 JPE). Cameron, Gelbach and Miller (2006) suggest a method for non-nested multi-way clustering in simple OLS, logit and probit models.
>>
>> Has anyone applied this methodology in an stcox setting?
>>
>> Is there another approach that I am unaware of?
>>
>> Thanks,
>>
>> Herb
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