Re: Re: st: a user-written program for clustering SE on more than one clustering variable?

[Stas Kolenikov <skolenik@gmail.com>]

As far as I can recall, a couple of years back Austin Nichols and I
looked into this, and found that -cmgreg- replaces some negative
values on the diagonal by zeroes. That way, the users does not really
know (1) when the model assumed by the estimator is wrong, as would
have been evidenced by a negative variance / missing standard error,
(2) how many degrees of freedom are left for the estimator once some
of them are taken out (which is a sore point in clustered standard
errors). So use at your own risk.

-- Stas Kolenikov, PhD, PStat (ASA, SSC)
-- Senior Survey Statistician, Abt SRBI
-- Opinions stated in this email are mine only, and do not reflect the
position of my employer
-- http://stas.kolenikov.name



On Fri, Aug 9, 2013 at 4:36 PM, Ariel Linden, DrPH
<ariel.linden@gmail.com> wrote:
> Actually, I finally found it. The program is called -cgmreg- and is found at
> http://www.econ.ucdavis.edu/faculty/dlmiller/statafiles/
>
> The approach is discussed in a series of working papers that resulting in
> the final journal article:
>
> Colin Cameron, Jonah Gelbach, and Douglas L Miller, "Robust Inference with
> Multi-way Clustering", Journal of Business and Economic Statistics, 2011.
>
> Thanks
>
> Ariel
>
>
> Re: st: a user-written program for clustering SE on more than one clustering
> variable?
> From      Stas Kolenikov <skolenik@gmail.com>
> To        "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
> Subject           Re: st: a user-written program for clustering SE on more
> than one clustering variable?
> Date      Fri, 9 Aug 2013 13:36:19 -0500
>
> ivreg2?
>
> -- Stas Kolenikov, PhD, PStat (ASA, SSC)
> -- Senior Survey Statistician, Abt SRBI
> -- Opinions stated in this email are mine only, and do not reflect the
> position of my employer
> -- http://stas.kolenikov.name
>
>
>
> On Fri, Aug 9, 2013 at 8:51 AM, Ariel Linden, DrPH
> <ariel.linden@gmail.com> wrote:
>> Hi All,
>>
>> I vaguely remember downloading a user-written program several years ago
> that
>> estimates clustered std errors on more than one clustering variable
> (without
>> going to a multi-level modeling approach). In any case, I can't remember
>> what the command is.
>>
>> If anyone knows what I am talking about, I'd be very grateful!
>>
>> Thanks
>>
>> Ariel
>
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