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

["Ariel Linden, DrPH" <ariel.linden@gmail.com>]

Stas,

I agree with your (and Austin's) assessment. In addition, I spent a fair
chunk of yesterday examining the behavior of -cgmreg- compared to -xtmixed-
nesting at two and three levels (as well as -xtreg- with re and fe options).
In almost all cases (with the data I was using), cgmreg gave coefficient
estimates that were nearly identical to -regress-, with of course, changes
to the se's. However, these coefficients were much different than those
derived from -xtmixed- (in fact, in some cases the sign of the coefficient
went from positive to negative).

Given this, I think my conclusion is to stick with "generally accepted
practices" regarding multilevel clustered data and use the -xtmixed- or
-gllamm- (findit gllamm). The approach will be more defensible to reviewers

Ariel

________________________________________
From
  Stas Kolenikov <skolenik@gmail.com>
To
  "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject
  Re: Re: st: a user-written program for clustering SE on more than one
clustering variable?
Date
  Sat, 10 Aug 2013 07:47:58 -0500
________________________________________
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
>



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