sara borelli <[email protected]>:
The cluster-robust standard error (CRSE) estimator has at most M-1 df
with M clusters, so with 14 clusters you can test the joint sig. of at
most 13 coefs. But the performance of the estimator gets worse as you
increase the the number of constraints. The CRSE's performance
improves as M-k increases toward infinity, where M is the number of
clusters and k the number of constraints you are testing, and for M-k
at least 20 and clusters balanced you should expect good performance.
Since you have M-k equal to one (the minimum possible value), you
should expect that the estimated variance is too low and the F stat is
too high, on average. Note that clusters are like super-observations,
for the purposes of the SE of estimated coefs, so a regression on 37
variables with 14 clusters is a bit like a regression on 37 vars with
14 obs--you really don't want to test more than one coef there, and
maybe not even that many. How are your clusters defined? Is there
any possibility of adding more clusters, or redefining them sensibly
so you have more clusters?
On Fri, Jul 4, 2008 at 5:16 AM, sara borelli <[email protected]> wrote:
> Dear Stata List members,
>
> I have found some related questions on FAQs, but I cannot fins exactly what I need.
> I am running a regression with the cluster option. I have 37 independent variables (including the constant), 1647 observations, and 14 clusters.
> I want to test the joint significance of 18 variables.
> If I do NOT use the cluster option the F is calculated correctly as F(18, 1637).
> But once I introduce the cluster option I get the following result:
> (1) x1= 0
> (2) x2 = 0
> (3) x3 = 0
> (4) x3 = 0
> ...
> (18) x18 = 0
> Constraint 1 dropped
> Constraint 2 dropped
> Constraint 3 dropped
> Constraint 4 dropped
> Constraint 14 dropped
>
> F( 13, 13) = 109.42
> Prob > F = 0.0000
>
> I guess stata is doing something on the degree of freedoms, but I have not clear what is going on, why it is dropping the constraints. Is the final F test calculated correct?
> Thank you in advance for any help
>
> Sara Borelli
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
