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| From | Nils Braakmann <nilsbraakmann@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Clustering Standard Errors. |
| Date | Tue, 15 Jun 2010 09:11:18 +0200 |
Ah, thanks Austin. I didn't know that. On Mon, Jun 14, 2010 at 11:25 PM, Austin Nichols <austinnichols@gmail.com> wrote: > Nils Braakmann <nilsbraakmann@googlemail.com> : > No, not the same. The group() approach uses a much more restrictive > assumption about independence of errors, and that VCE is actually an > ingredient of the two-way cluster-robust VCE. Quoting from > http://fmwww.bc.edu/repec/bocode/i/ivreg2.html : > > The two-way clustered variance-covariance estimator is > calculated using 3 different VCEs: one clustered on varname1, the second > clustered on varname2, and the third clustered on the intersection of varname1 > and varname2. Cameron et al. (2006, pp. 8-9) discuss two possible small-sample > adjustments using the number of clusters in each category. cgmreg uses one > method (adjusting the 3 VCEs separately based on the number of clusters in the > categories VCE clusters on); ivreg2 uses the second (adjusting the final 2-way > cluster-robust VCE using the smaller of the two numbers of clusters). > > Whether or not you should use one approach or another depends on many > things, including your own most plausible theories about independence > of errors and the number of clusters in each dimension; see > http://www.stata.com/meeting/boston10/abstracts.html#baum > > On Mon, Jun 14, 2010 at 3:19 PM, Nils Braakmann > <nilsbraakmann@googlemail.com> wrote: >> Hi Natasha, >> >> I guess the two approaches should give identical results (although I'm >> not sure how two-way clustering is implemented in e.g. xtivreg2). The >> -egen ... group()- approach essentially creates all possible >> combinations of (in your case) industry and region and clusters on >> that. In my understanding, two way clustering should do the same. >> >> Best, >> Nils >> >> On Mon, Jun 14, 2010 at 4:50 PM, natasha agarwal >> <agarwana2@googlemail.com> wrote: >>> Thanks Nils. >>> >>> How would you know whether you need to do two-way clustering or >>> generate a cluster variable? >>> >>> Thanks >>> Natasha > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/