Questions tagged [clustered-standard-errors]

Clustered standard errors represent the version of the general sandwich variance estimator that correct for (potential) grouping of the observations, e.g., repeated measurements clustered within an individual, or individuals clustered within a hierarchy level (geographical region, educational institution, etc.).

Filter by
Sorted by
Tagged with
0 votes
0 answers
17 views

Cluster standard errors on experiment group?

I am running a very simple experiment. There are two different experiment groups, participants are randomly assigned. They have to make a simple binary decision in the experiment. I have three control ...
0 votes
0 answers
6 views

Error structure for fixed effects model

Just theoretically, I am wondering about use cases for cluster-robust standard errors and fixed effects models in conjunction. Let's say I have a panel 10 firms over 20 years and I choose to use fixed ...
0 votes
0 answers
4 views

Clustering fixed effect for difference in difference

I am trying to investigate the impact of a treatment (deep clean and restocking) on sales of individual product lines with an observational analysis similar to difference in difference. The treatment ...
0 votes
0 answers
24 views

Clustered Standard Errors or Fixed Effects Multiple Regression?

I know similar questions have been asked, but I am still very unsure about what's the appropriate method in my case and what the benefits and downsides of each approach are. For my Master thesis, I am ...
  • 1
1 vote
0 answers
25 views

Spatial Error Model vs Conley standard errors

What is the difference (pros and cons) of using an OLS with conley standard errors and a spatial error model? Is there a recommendation for when you should use one over the other? Thanks!
0 votes
0 answers
56 views

The math behind svyglm() when we have weights and clusters

I want to apply survey::svyglm() to a scenario that we need to get the robust standard error in both weights and clusters. There is an example in survey R package: ...
0 votes
0 answers
15 views

Multilevel model when there is no variation in DV among some groups

I came across a study that claimed they used a logistic model with group-level clustered standard errors instead of a fixed-effect MLM because many groups did not have variation in the DV and so ...
  • 29
5 votes
2 answers
148 views

When are cluster robust standard errors a valid "alternative" to mixed models?

Background If we have data with multiple measurements per subject, I understand we must model or correct for the non-independence. I believe there are several approaches to doing this. One is a mixed ...
4 votes
1 answer
104 views

is ab test valid for concluding causal relation, when analysis unit differs from randomization unit?

In a typical A/B test, the randomization unit is user level, sometimes the analysis unit may be page/visit level, like a cluster randomization experiment. In this situation, the iid assumption doesn't ...
  • 106
0 votes
0 answers
12 views

Issues using multinomial logit on choice-based conjoint experiment data with a panel structure

In most choice-based conjoint survey experiments, respondents answer multiple choice questions, thus the data have a panel structure. Multinomial logit is a common model used with these data to ...
  • 101
0 votes
0 answers
21 views

How to get correct parameter estimates with repeated measures data

If we have multiple observations per subject, we must account for non-independance for valid inference. For example, computing cluster robust standard errors will correct standard errors, but ...
1 vote
0 answers
27 views

How to test if both the mean and variance of the treatment effect is less than the control?

Statistics background I'm relatively new to experimentation and causal inference. I took up to graduate level stats in school but forget a ton after entering industry. Situation I am running an ...
  • 11
1 vote
1 answer
54 views

How to estimate disease prevalence using logistic regression when some people are measured several times

I have a binary variable indicating the presence or absence of a disease as well as variables for time and other covariates. SOME (not all) people are observed (tested) several times. Suppose I want ...
2 votes
1 answer
61 views

Difference in clustering standard errors of coeftest and sum

Suppose I have a panel data and would like to look at time fixed effects, i.e. effects constant across "state" but varying over time. My understanding was always, that the estimated ...
  • 335
1 vote
0 answers
102 views

R: Panel Data Clustered Standard Errors

I have a panel regression and like to proof the robustness of my model. I estimated a fixed effects model with double clustered SEs. I estimated: an OLS - pooled model Fixed effects model Index: ...
0 votes
1 answer
54 views

geeglm: Does as.factor() not work with corstr=fixed?

(See "Edits" at the bottom for partial resolution.) I am interested in generating point estimates for each cluster in my data using geeglm.  However, when I use as.factor() over the ...
0 votes
0 answers
24 views

How to correctly estimate the ratio different of lower grain unit metric in Cluster randomized experiment?

I work on Education tech products that teachers/students would use in their learning journey. When we run experiment to test hypothesis of a feature, we need to do cluster randomization (cluster = ...
2 votes
1 answer
53 views

What happens statistically, if you create more observations by measuring more aspects of the same observational unit

Let's say that I want to measure the effect of a treatment on the performance of a firm. However my sample is very small. Let's say 10 firms. It is not possible to observe more firms. All these firms ...
  • 289
0 votes
0 answers
105 views

Heteroskedasticity in OLS which best: clustered SE or robust SE?

I am trying to estimate the effect of a change in minimum wage regulation with no control group. I computed a propensity score for the probability of being affected by the change in MW before the new ...
  • 1
1 vote
1 answer
66 views

Should we always use clustered standard errors in panel data with only two time points, in a multilevel logistic regression?

This is the situation: I have a binary outcome at two timepoints (T1 and T2); I'm using a random-effect logistic regression (I mean: just the random intercept, no random slopes) to estimate subject-...
0 votes
1 answer
39 views

can I cluster standard errors within a multilevel model?

I recognise this is similar to this but I couldn't understand the answer to the question and hence am asking again. Is it possible to use both cluster standard errors and multilevel models together ...
  • 11
0 votes
0 answers
20 views

Is there a formula expressing the relationship between standard deviation, standard deviation of cluster effect and standard deviation within cluster?

Suppose I have data on child test scores of children from different schools. Children are the unit of observation and the schools are clusters. The standard deviation of the test score variable is 1.5....
  • 13
0 votes
0 answers
662 views

Different standard errors in Stata and R for instrumental variables (ivreg)

Working with instrumental variables (IV), I noticed differences between reported standard errors in Stata (e.g., using ivreg2) and R (e.g., using AER:ivreg2). In R I found ways to replicate Stata's ...
  • 327
0 votes
0 answers
26 views

Which standard errors?

I'm working on a project with panel data and decided to use the fixed effect model, because the hausmann test p-value < 0,05. No I wonder ho do I know, which standard errors should I use? There are ...
0 votes
0 answers
26 views

How do I get cluster-robust standard errors for average predictions?

Let's say I have some clustered data that I use to train a regression model and I want to come up with cluster-robust standard errors for the average of a set of predictions of that model. How should ...
0 votes
1 answer
60 views

Difference in Difference and clustering errors

I have audience data for weekly TV news broadcasts from 50 different regions. So each broadcast (around 250 in total) has 50 different audience figures. My data contains two years (year1 and year2). ...
  • 11
0 votes
0 answers
102 views

Manual Tobit Clustered Covariance Matrix Estimation (vcovCL package R)

Dear Stack Exchange users, I estimated the following general (pooled) Tobit model using R: $y_{i,t}^{*} = a + x_{i,t} \beta +\varepsilon_{i,t}, \hspace{1cm} t = 1, ..., T$ where $y_{i,t} = y^{*}_{i,t}$...
0 votes
0 answers
22 views

Weighted clustered standard errors

I am thinking about a weighted clustered standard error with heteroskedasticity. The estimate can be calculated as follows: \begin{equation} \begin{split} \hat{\beta} &= \left(\sum_g X_g'W_gX_g\...
  • 33
4 votes
2 answers
247 views

Is the Likelihood Ratio test using cluster robust standard errors fixable by Bootstrap (or someting else)?

There is a common agreement about the invalidity of using likelihood ratio tests when computing Maximum Likelihood Estimates (MLE) using clustered corrected standard errors. The main argument is that ...
  • 239
1 vote
1 answer
836 views

Country fixed effects and clustered robust standard errors for logistic regression

I'm wondering if in the same analysis I can use countries as fixed effect and as a cluster for the robust standard errors. Background: I'm running a multivariate logistic regression with the ...
0 votes
0 answers
24 views

Generating Simulations from an OLS model with Correlated Errors (Clustered Errors)

Suppose that I have an OLS model of existing data that looks like this: $$ Y_{i} = \beta_{0}+\beta_{1}X_{1}+\beta_{1}X_{2}+GroupFixedEffects + \epsilon_{...} $$ In addition, suppose I know that errors ...
  • 419
1 vote
0 answers
25 views

At what level should I cluster my standard errors and why?

I have a yearly panel data in which each observation is a pair of monitoring stations (stations measuring water quality in rivers) one located upstream and the other downstream, each station in the ...
  • 13
0 votes
0 answers
36 views

Comparing Predicted Outcomes with Correlated Errors

I'm using OLS to predict a worker's performance on tasks. I need to use the fitted model to compare the predicted performance of two arbitrary people. I need to calculate the distribution of 1's ...
  • 419
1 vote
0 answers
28 views

Cox PH model on 3 groups of same subjects but under varying conditions to see how it affects the survival - should I use clustering?

There's a group of subjects. They experience events depending on (defined by) certain conditions. I was asked by a researcher to perform a sensitivity analysis on 3 different ways to define the ...
0 votes
0 answers
272 views

Difference between coeftest output: 'twoways' and 'individual' + time dummies

Cross-posted on Stack Overflow: https://stackoverflow.com/questions/68925694/difference-between-coeftest-output-twoways-and-individual-time-dummies I am currently working with panel data and I want to ...
0 votes
2 answers
677 views

Estimating robust variance without cluster id in survival model

I built a survival model with coxph. I have a large dataset (1 000 000 instances) and the global model is not proportional. It cannot be improved by introducing time-dependent coefficients or ...
  • 79
0 votes
1 answer
36 views

Account for two levels of robust standard errors in school data

I am relatively new to Statistics and R, so please forgive my naive question. I have clustered school data and would like to employ matching followed by a regression. In the paper I read ("...
  • 3
0 votes
1 answer
398 views

Fixed effects model with dummy variables [closed]

I have to set up a regression analysis of panel data with a dummy variable (1 or 0) and fixed effects (for example time). Could someone help me how to do this in R? For now, I have set the dataset as ...
  • 3
0 votes
0 answers
93 views

Clustering standard errors for difference in difference

I am running a difference in difference to examine the effect of a merger on petrol prices. I am looking to see whether the prices of company A have increased due to a merger with company B. Local ...
1 vote
0 answers
20 views

What do "random sample" and "particular population" mean in clustering?

Yesterday, from a suggestion of @Dimitriy V. Masterov here, I saw from the given link about one of the reason we can avoid clustering is You want to say something about the association between ...
1 vote
0 answers
108 views

When we can ignore clustering?

I think it is a practical headache rising when doing empirical research. I am examining the impact of anticollusion laws on firms' asset growth as Dasgupsta, 2019 uses the genralized Difference-in-...
0 votes
0 answers
66 views

What does "autocorrelation/heteroscedasticity of the errors" mean?

When learning clustering error, from this discussion In general, you should look to cluster-adjust standard errors at the level in which you believe there exists autocorrelation/heteroscedasticity of ...
0 votes
0 answers
18 views

Is there any simple description about cluster?

I saw the single cluster and multi-way cluster quite a bit in some finance papers (cluster for standard error). I am asking for some simple explanation about what is cluster and why we need to do ...
1 vote
0 answers
87 views

When and why we should do single cluster in a specific layer?

From reading this discussion, there is one sentence Standard errors should be clustered at the city level, i.e. the level of aggregation at which the treatment occurs In Dasgupta, 2019's paper, the ...
1 vote
1 answer
122 views

Clustering SE at 2 levels [closed]

I saw some papers that cluster standard errors at two levels (let's say firm and year) and I found R and STATA packages that can do it. But what is the idea behind clustering at two levels? And how ...
0 votes
1 answer
82 views

clustered standard errors

In order to use clustered standard errors, I want to make sure that the residuals in each cluster are coming from the same distribution (and thus, we expect correlation), thus clustering is needed. Is ...
  • 27
0 votes
0 answers
59 views

How to test whether I need to cluster standard errors?

I am working with panel data (flights per month of several airlines). I suppose that I need to cluster standard errors since OLS errors are not valid. Is there a way to test whether I indeed need to ...
  • 27
0 votes
1 answer
234 views

Cluster-robust standard errors after vglm

I have estimated an ordered logistic regression with the vglm function of the VGAM package in R. Here is a minimalistic example of what I did: ...
  • 109
1 vote
1 answer
504 views

Is it useful to implement clustered SE in the probit-type models?

For my research, I am implementing a two-stage Heckman procedure. I am working with panel data, so I was wondering if it is common and actually needed to use clustered standard errors for the first ...
  • 27
2 votes
0 answers
83 views

What are the types of error correlation?

In many fundamental regression models errors are assumed Independent Identically Distributed. One of violations of this assumption is when the errors are somehow correlated. From what I know it may ...
  • 1,686

1
2 3 4 5