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Re: st: clustered SE smaller than
From
"JVerkuilen (Gmail)" <[email protected]>
To
[email protected]
Subject
Re: st: clustered SE smaller than
Date
Thu, 21 Mar 2013 12:10:05 -0400
On Thu, Mar 21, 2013 at 11:22 AM, Robert G. LaChausse
<[email protected]> wrote:
>
> My understanding is that the robust SE should be larger than the regular OLS
> SE. I found that the robust SE were actually a little smaller (ie .17
> regular SE and .14 robust SE). The cluster sizes range from 13 to 321. There
> are 22 clusters.
That's typically what happens but it's by no stretch of the
imagination required by robust standard errors. However I do worry a
bit about the hugely unbalanced cluster sizes, with the relatively
small number of clusters. That can create trouble.
You might want to try a clustered bootstrapping approach, which Stata
does very easily, because that depends much less on asymptotics. Just
make sure to boost the number of replications up to a larger value
(say 999).
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