Scott et al.,
Quoting Scott Merryman <[email protected]>:
> ----- 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
I didn't know about that. The FAQ is wrong, I think. White (1984),
Asymptotic Theory for Econometricians, pp. 135-36, proposes what we are
calling cluster-robust SEs. The White (1980) reference in the FAQ is just
the standard robust SEs reference.
--Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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