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

[Nahla Betelmal <nahlaib@gmail.com>]

Thank you everyone for sharing your valuable knowledge.
For xtmixed it has been renamed mixed in Stata 13 as mentioned here:
http://www.stata.com/help.cgi?xtmixed

Thank you again
Nahla

On 10 August 2013 14:45, Ariel Linden, DrPH <ariel.linden@gmail.com> wrote:
> 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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