----- Original Message -----
From: "Mark Schaffer" <[email protected]>
To: <[email protected]>; "Constantine Daskalakis"
<[email protected]>
Sent: Friday, May 23, 2003 6:44 PM
Subject: Re: st: Robust variances
> Minor point in passing - the Stata manuals refer to Rogers (1993) as the
> source for the cluster-robust approach (I think he used to work at Stata
> Corp) but as far as I can tell, Hal White should get the credit - it's
> described in his 1984 book Asymptotic Theory for Econometricians.
>
> --Mark
>
Mark,
There is a FAQ on this: "Which references should I cite when using the
cluster() option to obtain Stata's cluster-correlated robust estimate of
variance?" at http://www.stata.com/support/faqs/stat/robust_ref.html
Their short answer is:
"Rogers, W. H. 1993. "Regression standard errors in clustered samples."
Stata Technical Bulletin 13: 19-23. Reprinted in Stata Technical Bulletin
Reprints, vol. 3, 88-94.
Williams, R. L. 2000. "A note on robust variance estimation for
cluster-correlated data." Biometrics 56: 645-646.
And the longer answer includes:
Huber, P. J. 1967. "The behavior of maximum likelihood estimates under
nonstandard conditions." In Proceedings of the Fifth Berkeley Symposium on
Mathematical Statistics and Probability. Berkeley, CA: University of
California Press, vol. 1, 221-223.
White, H. 1980. "A heteroskedasticity-consistent covariance matrix estimator
and a direct test for heteroskedasticity." Econometrica 48: 817-830. "
Scott
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