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From | Austin Nichols <austinnichols@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: cluster issues: var in the regression and wald chi2 for probit |
Date | Thu, 8 Dec 2011 10:44:27 -0500 |
Luca Fumarco <luca.fumarco@lnu.se>: No, you do not have to omit the complete set of occupation dummies you are including with i.occupation, but you should be aware that 11 clusters will tend to produce SEs biased toward zero, leading to rejection rates well above the nominal level. The cluster-robust estimator of variance is consistent, meaning that as the number of clusters approaches infinity it gets arbitrarily close to the truth, not that you can use it with a very small number of clusters and expect good performance (though 50 seems a good rule of thumb threshold for "close enough to infinity"). The model stat is missing because you have too few df to test all coefs. Read: http://repec.org/usug2007/crse.pdf http://fmwww.bc.edu/repec/dsug2011/desug11_schaffer.pdf and the references therein. On Thu, Dec 8, 2011 at 10:22 AM, Luca Fumarco <luca.fumarco@lnu.se> wrote: > Dear Statalister > > I have a couple of questions: > > ->when I cluster on a variable, this variable has to be omitted from the regression? > ex. > xi: hetprob callback experiment Immig i.occupation, het(Immig) nolrtest vce(cluster occupation) > (where occupation is an ordered variable) > > ->when I do so, Stata warns me that "chi2 model statistic has been reported as missing" (see the dot after Wald chi2) * * 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/