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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.).

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How do I cluster my standard errors in a triple differences approach with two clusters?

I am trying to estimate this following triple differences regression in order to test for parallel trends in the difference in differences: My treatment is binary (it is a law that was passed in one ...
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2answers
68 views

Clustered standard errors - Why are SE smaller or bigger than OLS depending on cluster level?

I am analyzing some data using an OLS model. Data represent managers working for US cities. Within each city, we surveyed more than one manager (max 5). Multiple cities per state were surveyed. I'd ...
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19 views

Are Poisson Regressions with Serial Correlation Biased or Inconsistent? (No Fixed Effects)

Let's say I've got panel data where a count outcome $y$ and continuous independent variable $x$ observed each time period $t=(1,2,...T)$ for each individual $i$. I am interested in how $x_{it}$ ...
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1answer
27 views

Cluster-robust standard errors in panel data analysis

In a simple panel data analysis with data on 64 firms over 8 years, I use cluster-robust standard errors (at the firm level) to evaluate significance of coefficients. I observe important differences ...
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47 views

How should clustering be accounted for in logistic regression, when there are very few clusters?

I have survey data from 1000 patients. This is a convenience venue-based sample. In a specific city, at 9 hospitals that happen to have a psychosocial program, patients can opt into the program if ...
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42 views

hierarchical bootstrapping and calculation of variance (in a Random-Effects ROC Analysis) in R

I would like to calculate the variance of the AUC of readers (for each reader and averaged results) giving a score(1-5) to ...
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1answer
328 views

R | Robust standard errors in panel regression clustered at level != Group Fixed Effects

I want to run a regression on a panel data set in R, where robust standard errors are clustered at a level that is not equal to the level of fixed effects. That is, I have a firm-year panel and I want ...
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1answer
98 views

Why does ignoring dependencies between observations *inflate* my standard errors?

In the introductions to books and review papers about modeling dependent (a.k.a., within-subjects, repeated-measures, clustered, longitudinal, hierarchical) data, it is very common to say that ...
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1answer
40 views

Fixed effect and clustering with 3 dimensional data

I have a sample of banks. These vary across time, rating agency and across countries. UPDATE: I trying to capture the effect of a regulatory change (dummy variable, 0/1) on a banks credit rating. I ...
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0answers
35 views

Logistic Regression: Using weights?

I am running a logistic regression model with the following data and variables: Independent variables (characteristics of a person coded as dummy) Test score (continuous variable between 0 and 1) ...
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31 views

Differences between xtreg and xtivreg affecting nesting of clusters

This post is cross posted in a reply on statlist here I'm working with panel regression (fe = id year). I cluster on a regional variable, land, but my clusters are not nested. So I sorted out the ...
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1answer
37 views

Multilevel Model Application / Specification

I have some multilevel-data-structure, where I want to regress top 10 music chart listings (dependent variables: downloads and rank) on some song characteristics (Xi). The problem for me now comes ...
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78 views

Clustered standard errors vs. serial correlation

I have a probably simple question but I can't find an adequate answer. I have self-collected data from three monitors that measure temperature, humidity etc. I useed all three monitors simultaneously ...
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231 views

How to simulate data for generalized estimating equations (GEE) with logistic link function?

I am working with a pre/post test structure, measuring dichotomous outcomes. I am using GEE to estimate the coefficient for time (also a binary variable, 0 representing pre and 1 representing post), ...
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2answers
85 views

A Simple Formula for Clustered Standard Errors for a Univariate Regression with a Dummy Regressor

Suppose I have a simple cross-sectional regression like: $$y_i = \alpha + \beta \cdot D_i + \varepsilon_i,$$ where $D_i$ is a binary treatment flag and $i$ indexes individuals. $\beta$ is the ...
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103 views

Does the cluster() option/construct in R's coxph function make a degrees of freedom correction?

I'm running a Cox regression model for the hazard of foreclosure in a dataset with a large number of mortgages. My dataset is in "long" form with one observation per loan per month. To get the ...
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1answer
814 views

Clustered standard errors are completely different in R than in STATA

I'm trying to reproduce a study in R. Here are its core elements: study wants to measure the effect of a transit strike on highway delay independent variables: strike: binary dateresidual: ...
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61 views

Clustered Standard Errors, small cluster size, cross classified structure

i am dealing with a fairly complicated cross-sectional data structure ("cross-classified") which implies non-independence of the errors when analysing my Y. Individuals (N=1200) are nested in level ...
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36 views

standard error adjustment in pooled panel regression with time fixed effect

I am fitting a pooled-panel cross-sectional regression with a time fixed-effect: \begin{align} Y_{i,t}=a_t+X_{i,t}b+e_{i,t}. \end{align} But I have $E(e_{i,t}e_{j,t})\ne0$ for $i\ne j$, $E(e_{i,t}e_{i,...
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43 views

What's the difference between “cluster” option in linear regression and mixed models?

Is there a difference in estimates from linear regression with "cluster" option and linear mixed model? Take for example this scenario : "...dataset contains data on 400 schools that come from 37 ...
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116 views

Diff-in-diff: Individual outcomes and group-level treatment

Question: What are my best options for handling group-level correlations in a panel differences-in-differences model using StataSE 14.2? Background: I have a Differences-in-Differences (DiD) design ...
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23 views

Decomposition of time common shock and idiosyncratic shock in Panel VAR (with fixed effects?)

After a good run through the literature on what estimation procedure to follow on the following problem without finding an answer I resort to the stats community. The model originates from Darrell ...
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1answer
25 views

Mediation with data from cluster RCT

I am using the R mediate package to look at mechanisms of change in a cluster randomized controlled trial. My code looks somewhat like this: ...
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184 views

Comparing the regression coefficients of two time periods using unbalanced panel data and a fixed effects model

I'm currently trying to investigate how investors change their asset allocation due to liquidity risk and if their behaviour has changed since the financial crisis. My data contains the asset ...
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24 views

Violation of IID assumption in Finite Mixture Model Clustering

I have conducted a Finite Mixture Model-Based Clustering on a data set that consists of multiple observations between different subjects. The clustering was done on the pooled data. The question is ...
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126 views

Heckman model and clustered standard errors

I'm using sampleSelection::heckit to perform Heckman sample selection bias correction on a firm-year panel data. heckit ...
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1answer
566 views

Double-clustered standard errors and large panel

I have a large panel data set featuring the purchases of 5000+ individuals over 2000+ time periods (days). I am looking to estimate pooled OLS regressions featuring double-clustered standard errors (...
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47 views

Problem with Clustered SE's in R

So I was trying to replicate results from one of the papers in JDE. The thing is that when the data is analyzed in Stata, Stata fits the model and corrects for Clustered SE's on 32,915 Observations ...
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1answer
208 views

Calculating nested clustered standard errors with bootstrap

I'm trying to figure out how to calculate clustered standard errors via boostrap when the clusters are nested. I know that when there is a single level of clustering, you sample at the cluster level ...
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1answer
50 views

School-level covariates without a multilevel model-how does it affect results?

I'm reviewing a paper and have a question about a stats choice the authors made about how to deal with the nested structure of their data. The analysis is a piecewise growth model exploring ...
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0answers
151 views

Does my regression need a time-series component? If so, what?

I'm writing a study that analyses how the topic of debate changes depending on who is speaking next. I have 8,000 debates of various lengths. I have a continous measurement of how different each set ...
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1answer
268 views

What are the leverage values for Ridge regression?

In linear least squares the parameter estimates are: $\hat{\beta} = \left(X^{\top}X\right)^{-1}X^{\top}y$. In Ridge regression the standardized parameter estimates are given by $\hat{\beta}_{\Gamma} = ...
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How does a negative relationship within a cluster effect my prediction error?

I'm currently a masters student at the university of Leiden and in the middle of my master thesis. In my master thesis I try to find the best way to predict applicant uptake for a vacancy with machine ...
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30 views

Advice regarding regression modelling

I would like to run the following model: $Y_{ij}=\beta_0+\beta_1 X_{ij}+ f(controls) + e_{ij}$ where observations are collected from several individuals ($i\in[1,N]$) following several events ($j\in[...
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57 views

Multilevel modeling with distinct-level variables in Stata - clustering std errors

I am trying to model gender (dependent, binary) on sets of country-level and sector-level variables (where sector is nested within country). My problem is to correctly calculate standard errors of ...
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1answer
530 views

Test for serial correlation in fixed effects model

I am currently studying panel data. I am using fixed effects estimators with cluster robust standard errors to account for the possibility of heteroskedasticity/serial correlation in the error terms. ...
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69 views

non-parametric binomial test for clustered data

Consider that you want to test the performance in school between two schools. The dependent (observable) variable is whether a student passed a course or not. I want to compare proportions of students ...
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125 views

Should instruments always weakly increase standard errors?

In OLS, are standard error estimates using some instrument $z$, different from $x$ always weakly larger than standard errors when not using instruments? This has been discussed before: Why is the ...
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1answer
403 views

Standard Error For Cluster Sampling

A problem I've found and been thinking about for a while but not sure I can articulate properly. Any help appreciated. A survey is being planned with the goal of interviewing $n$ people ...
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36 views

Standard error of two independent studies combined

A pollster publishes political surveys, where people declare which of many parties they intend to vote for. They declare the ‘maximum margin of error’ for their surveys. It is defined as the margin of ...
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484 views

Swamy-Arora estimation of variance component in panel data

I wonder under which conditions the Swamy-Arora estimation is preferred over the conventional estimation method or the Wallace and Hussain estimator? I'm running an unbalanced panel dataset with ...
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1answer
144 views

Correction factor for the standard deviation

I know that there is at least another page with inputs on this problem but I have some additional questions not included in them (I think) and I don't know if I should post in that thread instead of ...
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1answer
543 views

Does # of observations in each cluster matter for cluster-robust standard errors?

In multiple regression with panel data, when calculating cluster robust standard errors, does it matter if there are only a handful of observations in each cluster? I am looking at if the ...
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1answer
3k views

How to decide on the clustering of standard errors? (region- vs. country-level)

I'm estimating a first-difference panel data model with data on the regional level (~125 regions). All regions are part of a country (~12 countries). It seems intuitive to cluster the standard errors,...
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1answer
442 views

Addressing serial correlation: Does it make sense to both cluster standard errors and use bootstrapping?

I am examining how a policy change impacted return on assets (ROA) using a difference-in-difference test. To address problems with serial correlation, we cluster standard errors at the firm level (...
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1answer
63 views

Clustered robust standard error for a binary variable

I have a data in which one group of observations (non-experienced users) may have different patterns of behavior (most of them are not captured by my data) from the other group's observations (...
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1answer
2k views

LOGIT Regression with multiple fixed effects - STATA

For my thesis I am using as dependent variable the fraction of cash as part of the total price offered by the bidder. So, it's a fractional response that lies between [0,1]. I am not sure which ...
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1answer
108 views

Mann-Whitney U test for two samples, both having groups within (between group variability)

I have two distributions $X$ and $Y$ with $n_Y>n_X$ that I want to test if they are different. But within each sample, I have subgroups that have an effect on the variable in question. As an ...
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94 views

Maximum likelihood and autocorrelation

We have panel data and we want to estimate the following linear model: $Y_{it}=βX_{it}+\alpha_{i}+\epsilon_{it}$ Suppose that, for some reason, we must estimate this model by the maximum likelihood ...
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1answer
25 views

dependence of error in clustered data

One commonly given reason to use mixed-effects model rather than a fixed-effects model is “the assumption of independence of errors does not hold in a multilevel structure, this will cause the ...