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st: Reference for clustered standard errors in Stata
From
"Tobias Pfaff" <[email protected]>
To
<[email protected]>
Subject
st: Reference for clustered standard errors in Stata
Date
Sat, 4 May 2013 17:29:49 +0200
Dear Statalisters,
What is the correct reference for the formula used by Stata for clustered
standard errors?
I didn't find anything in the documentation and I find different references
in the literature. For example:
White (1984), Liang and Zeger (1986), Arellano (1987), Rogers (1993)
Does anybody know what I should cite?
Thanks very much,
Tobias
References:
White, Halbert. 1984. "Asymptotic Theory for Econometricians" Orlando, FL:
Academic Press.
Liang, Kung-Yee, and Scott L. Zeger. 1986. "Longitudinal Data Analysis Using
Generalized Linear Models." Biometrika, 73: 13-22.
Arellano, Manuel. 1987. "Computing Robust Standard Errors for Within-Groups
Estimators." Oxford Bulletin of Economics and Statistics, 49: 431-34.
Rogers, William H. 1993. "sg17: Regression standard errors in clustered
samples." Stata Technical Bulletin 13: 19-23.
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