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From | natasha agarwal <agarwana2@googlemail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Clustering of Standard Errors in a fixed effect model. |
Date | Mon, 21 Jun 2010 13:40:00 +0100 |
On Mon, Jun 21, 2010 at 1:34 PM, Austin Nichols <austinnichols@gmail.com> wrote: > natasha agarwal <agarwana2@googlemail.com> : > The number of clusters and how balanced they are determine the > tradeoff--see e.g. http://www.stata.com/meeting/13uk/nichols_crse.pdf > and refs therein, and for the follow-up see > http://www.stata.com/meeting/boston10/abstracts.html#baum Thanks Austin. I have read this paper. On this note, does it mean that if I have 30 clusters with a very unbalanced cluster size like one cluster size being 2000 observations and the other say 30 observations will give me inconsistent results? > On Mon, Jun 21, 2010 at 7:22 AM, natasha agarwal > <agarwana2@googlemail.com> wrote: >> Dear Everyone, >> >> I am trying to estimate an augmented production function where am >> attempting to measure the effect of aggregate variable (FDI in a >> region) on micro units (productivity of domestic firms). I use an >> unbalanced panel data which spans for 5 years. >> >> According to Moultan (1986) paper titled "An illustration of a pitfall >> in estimating the effects of aggregate variables on micro units", it >> mentions that is is essential to cluster at the aggregate level when >> an aggregate regressor is specified in the right-hand side. >> >> However, Woolridge 2002 in his book Cross-Section and Panel Data >> mentions that clustering at the aggregate level when the number of >> groups is less than the group size might not be correct. >> >> I was wondering, if anyone could explain me what happens if one tries >> to cluster at the aggregate level in a fixed effect model when the >> group size (cluster size) is greater than number of groups (number of >> clusters)? >> >> 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/