Shang Ha <[email protected]>:
I would ignore the comment from Joshua A Shindell at
http://www.stata.com/statalist/archive/2009-03/msg01218.html on more
substantive grounds--the cluster-robust VCE is useful in a huge
variety of situations, of which serial correlation within panel is
merely one instance. I would even say the majority of cases deserving
of cluster-robust VCE corrections are cross-sectional applications;
for example, any survey, or regression using covariates measured at
different "levels" e.g. individual outcomes regressed on
state/province policy variables. However, the cluster-robust VCE is
biased downward in "small" samples, i.e. small number of clusters
(also severely unbalanced clusters), so in fact if the cluster-robust
VCE is inappropriate for your case, it will not necessarily "give a
more conservative of an estimate of your standard errors" as Joshua A
Shindell claims--quite the opposite is possible.
See also http://ideas.repec.org/p/boc/usug07/07.html
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