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| From | "Petra Nieken" <petra.nieken@uni-bonn.de> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | AW: st: xtprobit clustered standard errors or gllamm |
| Date | Thu, 23 Aug 2012 16:13:11 +0200 |
Dear Gordon, thank you so much for your help. However, vce(bootstrap) does not allow me to declare a cluster when using xtprobit. Do you think gllamm would be a better solution? Kind regards, Petra -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Gordon Hughes Gesendet: Donnerstag, 23. August 2012 15:52 An: statalist@hsphsun2.harvard.edu Betreff: Re: st: xtprobit clustered standard errors or gllamm -xtprobit- does not offer the vce(robust) or vce(cluster) options. This is unusual for a Stata xt... procedure and you might take that up with Stata Corp. However, for practical purposes the vce(bootstrap) option should be a perfectly satisfactory alternative provided that you declare an appropriate cluster() variable in the vce specification. Use a much larger number of replications than the default - Cameron & Trivedi recommend at least 400. For further details, see Colin Cameron & Pravin Trivedi (2010), Microeconometrics Using Stata, College Station: Stata Press. Gordon Hughes g.a.hughes@ed.ac.uk ============================ Dear all, I use Stata 11 SE and I am looking for a way to estimate a xtprobit model with clustered standard errors. I have data from 180 subjects who are divided into 60 independent groups but the subjects within one group interact with each other. The dataset contains five periods but each subject occurs only two or three times within the five periods. My dependent variable is binary and a referee has asked for a random effects probit model with clustered standard errors on group level to control for individual subject effects, time and the potential correlation of errors within a group. * * 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/ * * 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/