Bookmark and Share

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: Minimum number of observations per cluster for clustered standard errors in IV?


From   Jen Zhen <jenzhen99@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Minimum number of observations per cluster for clustered standard errors in IV?
Date   Thu, 17 Oct 2013 15:37:34 +0200

Dear listers,

I sent this question as an add-on to my earlier inquiry under a
different headline and just realized that this way it may not reach
its audience, hence I'm putting it into a different thread now:

I am trying to choose how to cluster my SEs in ivreg2. I understand
from Nichols (2007) and Angrist and Pischke that I should pick a
dimension with which I get at least 42 or 50 different clusters. Now
that's in extremo easy to satisfy if I cluster by observation. But I
guess there should also not be too few observations per cluster. But I
haven't found anything on what is "too few" here.

Is there any evidence providing for a minimum number of obs per
cluster, or a minimum on the average, median, P10 etc number? Any
other useful criterion?

I suppose that when using 2 way clustering then each of my 2
dimensions should on their own satisfy the respective requirement?

Thank you so much and kind regards,
JZ
*
*   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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index