Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | Stas Kolenikov <skolenik@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Murphy and Topel correction and cluster adjustment |
Date | Thu, 27 Jan 2011 22:04:28 -0600 |
You would want to read James Hardin's paper on sandwich estimator of variance in Stata Journal 2 (3) -- see http://stata-journal.com/article.html?article=st0018. He showed how to produce an analogue of -robust- calculation for generated regressors that is asymptotically appropriate (and, to me, somewhat more straightforward than Murphy-Topel). I imagine that by repeating his calculations with sums over clusters rather than over observations, you will get cluster-corrected standard errors for generated regressors. You can use the bootstrap, too, but you need to make sure you do it accurately -- see my paper on survey bootstrap a couple of Stata Journals ago (http://stata-journal.com/article.html?article=st0187). On Thu, Jan 27, 2011 at 8:57 PM, Hongping Tan <hptan@uwaterloo.ca> wrote: > QVF package provides the MTopel option to compute Murphy-Topel estimator of > variance. Is it possible to adjust both MTopel and cluster at the same time? > When I use MTopel option, I find the reported t-stat is too high compared to > the case when I use CLUSTER option. Besides, are you aware if there is any > published paper that uses a bootstrap to solve the generated regressor > problem? > > Thanks, > > Hongping Tan > Assistant Professor of Finance > School of Accounting and Finance > University of Waterloo > > * > * 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/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/