st: Missing Wald test with -cluster- option

[John Antonakis <John.Antonakis@unil.ch>]

Hi:

Awhile back, Mark Schaffer replied to a post, regarding a missing Wald 
test when using the -robust- or -cluster(id)- option, noting:

http://stata.com/statalist/archive/2006-09/msg00840.html

Mark suggested that tests of individual parameters are still 
interpreted; however, joint tests (for all parameters) should not (as I 
guess that the test would not be trustworthy). If I remember correctly, 
he has mentioned this in the past as have other posters too, directly or 
indirectly.

What I was hoping for is a published referenced the fact that parameter 
tests are interpretable. Also, just wondering whether anyone has written 
anything the consequences of this problem (i.e., insufficient clusters) 
on tests of overidentification.

Best,
J.

--
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Prof. John Antonakis
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Department of Organizational Behavior
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The Leadership Quarterly
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