Re: st: cluster() and robust option

[James Fagg <j.fagg@qmul.ac.uk>]

Hi Kit,

I am afraid I don't know the answer to your questions as I am a very new 
STATA user. However, I note that you talk about the sandwich / Huber / 
White variance estimator. I am working with a national dataset and a 
binary outcome. Many of the small areas that I am investigating have 
only one respondent.

I am using xtlogit to investigate area effects and I am wondering 
whether the sandwich estimator improves the estimates of the effects and 
whether I should / could use this with xtlogit?

Jamie

Queen Mary, University of London

Kit Baum wrote:

> Federico says
>
> I am working with a cross-national data set. It includes observations  
> for 20 developed countries in 1990. Since these countries are not  
> randomly sampled, I thought to use the reg option cluster(country).  In 
> fact it specifies that the observations are not independent within  groups
> Is this a reasonable solution in this case?
>
> If so, why do I obtain the same result by using robust option?
> I wonder if robust standard errors are the statistical remedy both  for 
> no independent observations and heteroskedasticity?
> So, what is the relationship between heteroschedasticity and no  
> indipendent observations?
> I ask thesw questions because I didn't find any answers on STATA  manuals.
>
>
> If you have only those 20 observations, robust and cluster(country)  
> mean the same thing. The group of observations corresponding to the  
> country is allowed to have a covariance matrix incorporating intra- 
> country correlation, and the diagonal of that matrix is country- 
> specific. But if you have only one obs. per country that matrix is a  
> scalar with value equal to the "robust" (sandwich/Huber/White)  variance 
> estimator.
>
> Cluster standard errors would make a difference if you have multiple  
> observations per country (e.g. a panel). But there are other ways of  
> skinning that cat, e.g. xtgls, xtgee etc.
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
>
>
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