Re: st: Missing Wald test with -cluster- option

[John Antonakis <John.Antonakis@unil.ch>]

Thanks Austin, Steve.

If you (i.e., Austin, Mark) get any papers out soon please inform me or 
the list as I am sure that others would be very interested in your findings.

Best,
J.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________


On 29.11.2011 00:42, Steve Samuels wrote:
> John:
>
> Perhaps you will find this reference useful:
>
> Korn, E. L.,&  Graubard, B. I. (1990). Simultaneous testing of regression coefficients with complex survey data: Use of Bonferroni t statistics. American Statistician, 270-276. Retrieved from http://www.jstor.org/stable/10.2307/2684345
>
> The motivation for the proposal is the limited number of degrees of freedom for tests of multiple parameters in many surveys, where d.f. = no. sampled PSUs - no. strata.
>
>
> Korn, E. L.,&  Graubard, B. I. (1990). Simultaneous testing of regression coefficients with complex survey data: Use of Bonferroni t statistics. American Statistician, 270-276. Retrieved from http://www.jstor.org/stable/10.2307/2684345
>
>
>
>
>
>
> On Nov 28, 2011, at 2:17 PM, Austin Nichols wrote:
>
> John Antonakis<John.Antonakis@unil.ch>:
> Mark and I promulgated simulation evidence in the 2007 UK meeting:
> http://repec.org/usug2007/crse.pdf
> that one coefficient with M clusters has a very good rejection rate
> when you include fixed effects for clusters and use the cluster-robust
> SE.
>
> We also said
> "Preliminary simulations show that the rejection rate rises from 5
> percent to 100
> percent as the number of coefficients increases from 1 to M."
> and we fully intended to publish a paper right way.  Life has
> intervened, but there will be a paper (with a lot more new material)
> one of these days.
>
> Let me just interpret that finding in words, though.  If you have 50
> clusters and you are testing one coef, you have 49 df, if the
> clustering produces a maximal loss of information.  If you are testing
> 25 coefs, your rejection rate is not going to be anywhere near the
> nominal rate, and if you are testing 51 coefs, you have a singular
> variance matrix and the test will not work.  Of course, a test of the
> "model" with has three substantive coefficients and 49 dummies for
> clusters will not fly, but each one of the 3 coefs should have a
> pretty good SE and tests involving those 2 of those 3 coefs will only
> slightly understate true variability of estimates.
>
> But YMMV--run your own simulation on your data!  (Imputing true
> effects etc.)  Or just cite the 2007 presentation.  It reads as an
> elliptical working paper, anyway.
>
> On Mon, Nov 28, 2011 at 9:46 AM, John Antonakis<John.Antonakis@unil.ch>  wrote:
> > Hi:
> >
> > Awhile back, Mark Schaffer replied to a post, regarding a missing Wald test
> > when using the -robust- or -cluster(id)- option, noting:
> >
> > http://stata.com/statalist/archive/2006-09/msg00840.html
> >
> > Mark suggested that tests of individual parameters are still interpreted;
> > however, joint tests (for all parameters) should not (as I guess that the
> > test would not be trustworthy). If I remember correctly, he has mentioned
> > this in the past as have other posters too, directly or indirectly.
> >
> > What I was hoping for is a published referenced the fact that parameter
> > tests are interpretable. Also, just wondering whether anyone has written
> > anything the consequences of this problem (i.e., insufficient clusters) on
> > tests of overidentification.
> >
> > Best,
> > J.
> >
> > --
> > __________________________________________
> >
> > Prof. John Antonakis
> > Faculty of Business and Economics
> > Department of Organizational Behavior
> > University of Lausanne
> > Internef #618
> > CH-1015 Lausanne-Dorigny
> > Switzerland
> > Tel ++41 (0)21 692-3438
> > Fax ++41 (0)21 692-3305
> > http://www.hec.unil.ch/people/jantonakis
> >
> > Associate Editor
> > The Leadership Quarterly
> > __________________________________________
> >
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