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st: multi-way clustering in stcox
From
Herbert Schuetze <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: multi-way clustering in stcox
Date
Mon, 21 Mar 2011 10:55:22 -0700
Hi all,
I am attempting to estimate a competing risks model in a Cox proportional hazard setting, similar to that suggested by Lunn and McNeil (1995). The problem I am encountering is that the procedure proposed by Lunn and McNeil requires one to utilize robust standard errors clustered on individual id numbers. At the same time, my data are generated such that I also need to cluster on State. The variable of interest is EI benefit levels similar to Chetty (2008 JPE). Cameron, Gelbach and Miller (2006) suggest a method for non-nested multi-way clustering in simple OLS, logit and probit models.
Has anyone applied this methodology in an stcox setting?
Is there another approach that I am unaware of?
Thanks,
Herb
Dr. Herbert J. Schuetze
Associate Professor
University of Victoria
Department of Economics
Phone: (250) 721-8541
Fax: (250) 721-6214
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