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st: Cluster robust se in logit fixed effects model

From   "Deller, David R D" <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: Cluster robust se in logit fixed effects model
Date   Thu, 26 Jul 2012 11:34:45 +0000

Dear statalist,

I am currently using a short and highly unbalanced panel data set to estimate a logit model of individuals committing property crime. Having run basic logit and probit regressions successfully I'm now running a fixed effects logit model using xtlogit, fe. As well as my dependent variable being binary most of my independent variables are dummies as I am using survey data composed largely of categorical questions. I want to obtain cluster robust standard errors as each individual represents a cluster who has errors which are likely to correlated through time.

To get cluster robust standard errors when using xtlogit, fe Cameron and Trivedi (2010) advises to use the option vce(bootstrap). However, given that relatively few individuals commit property crime, when I run the code I get lots of "red x's" which indicate stata has posted a missing value. I believe these missing values are due to stata dropping variables in the resampling process for which no one commits a crime.

My question is how does stata treat these missing values when it finally reports the standard errors? I know there are issues about the averaging process if one simply uses the bootstrap command and there are missing values. See:
Does this same problem apply to the command vce(bootstrap)?

I appreciate that even if this averaging problem doesn't occur with vce(bootstrap) the situation is not ideal as some of the standard error figures will be based on fewer replications than others.

Any help would be much appreciated.


David Deller
University of Essex

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