Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: IVREG2 and Standard Errors when Number of Clusters is Small
From
Jessie C <[email protected]>
To
[email protected]
Subject
st: IVREG2 and Standard Errors when Number of Clusters is Small
Date
Sun, 29 Jan 2012 10:58:29 -0500
In this presentation by Colin Cameron:
http://www.stata.com/meeting/mexico11/materials/cameron.pdf
it is suggested to compute the t-statistic based on G-1 or G-K-1
degrees of freedom. I cannot quite tell which. G is the number of
clusters. K is the number of regressors that are grouped that bring
about the Moulton problem.
Nevertheless, I cannot quite discern which paper Cameron is referring
to that recommends this.
Is it Donald and Lang (2007)? Looking at that paper suggests
averaging and aggregating micro-level data. My data is already at the
country level so I'm not sure if that is relevant.
Is it Bester, Conley, and Hansen?
Is it a different one?
Thank you very much for any help you can provide.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/