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| From | Austin Nichols <austinnichols@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Reference for clustered standard errors in Stata |
| Date | Mon, 6 May 2013 10:07:34 -0400 |
Tobias Pfaff <tobias.pfaff@uni-muenster.de>: Up to you--Rogers 1993 was the first Stata implementation, but he cites Huber 1967 as the source, as does the page Stata provides: http://www.stata.com/support/faqs/statistics/references/ though Eicker also contributed in 1967, and Kish made some contributions in 1965. On Sat, May 4, 2013 at 11:29 AM, Tobias Pfaff <tobias.pfaff@uni-muenster.de> wrote: > Dear Statalisters, > > What is the correct reference for the formula used by Stata for clustered > standard errors? > > I didn't find anything in the documentation and I find different references > in the literature. For example: > White (1984), Liang and Zeger (1986), Arellano (1987), Rogers (1993) > > Does anybody know what I should cite? > > Thanks very much, > Tobias > > References: > White, Halbert. 1984. "Asymptotic Theory for Econometricians" Orlando, FL: > Academic Press. > Liang, Kung-Yee, and Scott L. Zeger. 1986. "Longitudinal Data Analysis Using > Generalized Linear Models." Biometrika, 73: 13-22. > Arellano, Manuel. 1987. "Computing Robust Standard Errors for Within-Groups > Estimators." Oxford Bulletin of Economics and Statistics, 49: 431-34. > Rogers, William H. 1993. "sg17: Regression standard errors in clustered > samples." Stata Technical Bulletin 13: 19-23. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/