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
0answers
4 views

Clustered Poisson Regression

Observational Unit – I have set up multiple grids where within each grid (3x3), there are 3 different kinds of cells labeled 0, 1, and 2 identically laid out across grids. This is an observational ...
0
votes
0answers
76 views
+50

linear trend in the proportion of males over time: need to account for clustering?

I’m doing an analysis of applicants for grants over several years. In a given year, duplicate people have been dropped (those who submit more than one application in a given year). However, it is ...
0
votes
0answers
7 views

choosing between xtpoisson and xtnbreg

I have a panel data set of which the dv is a count variable(number of protests)and I am choosing between xtpoisson and xtnbreg models; since my dv is over dispersion, my professor suggested me using ...
0
votes
0answers
36 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
0answers
9 views

Testing for multicollinearity: use same specification as main model and clustered standard errors or not

When I am trying to check multiple panel data for multicollinearity by regressing one independent variable on another, should I use exactly the same specification as the main model or is an OLS ...
0
votes
2answers
38 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 ...
0
votes
1answer
22 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 ("...
0
votes
0answers
10 views

Do you have to simulate clustered data from a multivariate normal?

I've read a number of posts (e.g. this one and this one) in which the author simulates clustered data (some agents $n$ are allocated across clusters $c$, with errors correlated within clusters but not ...
0
votes
0answers
13 views

simulating data to estimate clustered standard errors

I've been thinking about simulating data to understand how clustered standard errors work. I thought it would be quite complicated, but then I stumbled on this World Bank blog post in which the author ...
0
votes
1answer
55 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 ...
0
votes
0answers
38 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 ...
0
votes
0answers
17 views

Do GEE estimator properties (e.g. bias) change depending on the correlation structure?

A logistic regression estimated using a generalized estimating equation with a clustering variable and an independent correlation structure produces the same parameter estimates as an MLE logistic ...
0
votes
0answers
39 views

Whether we need to cluster by country with staggered laws implementation?

When trying to find a way of avoiding using clustering, I saw that Abadie, 2017 have a great paper mentioned when we should cluster, summarized by McKenzie here. I used the paper of Dasgupta,2019 to ...
1
vote
0answers
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
0answers
59 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
0answers
24 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
0answers
15 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
0answers
84 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 ...
0
votes
0answers
16 views

What arguments can be used for/against clustering standard errors and/or estimating coefficients using the fixed effects model?

I'm writing a thesis based by using the following papers as a starting point: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3051151 https://www.sciencedirect.com/science/article/abs/pii/...
0
votes
0answers
10 views

Explaining 'when' and 'why' to use clustered standard errors

I am wanting gain a more intuitive understanding of when to employ clustered standard errors for OLS regression. I am an unsure as to when to employ them, or why they may be useful? Could someone ...
0
votes
0answers
13 views

intracluster correlation coefficient: are standard errors valid?

I am working with panel data and I want to estimate the fixed-effects model. I suspect that SE might be misleading due to (possibly) the necessity of clustering. Would the intracluster correlation ...
1
vote
1answer
65 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
1answer
37 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 ...
0
votes
0answers
24 views

Heckman in panel data

I am working with panel data and my intention is to perform Heckman two-stage procedure. For the second stage (OLS), I need to adjust standard errors (by bootstrap) for the bias introduced by the ...
0
votes
0answers
34 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 ...
0
votes
0answers
19 views

How do I cluster standard errors at village level if households move over time - panel data

I have panel data ranging over three survey years. I conduct my analysis using xtset hhid year- and xtreg. I would like to ...
0
votes
0answers
8 views

How to account for spatial and serial correlation simultaneously in a diff-in-diff estimation model?

I am trying to conduct an extension of the econometric analysis in the paper "Banking the Unbanked? Evidence from Three Countries" by Pascaline Dupas, Dean Karlan, Jonathan Robinson, and ...
0
votes
1answer
61 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: ...
1
vote
1answer
59 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 ...
2
votes
0answers
75 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 ...
0
votes
0answers
15 views

Clustering standard errors when individuals move between clusters

I have an individual level treatment group, which includes individuals who live in specific cities (not everyone living in those cities) when the treatment begins. Control group consists of similar ...
0
votes
0answers
42 views

Outlier Robust Regression with Clustered Standard Errors

I want to do a regression analysis with a dataset that consists of multiple subgroups so I have to use cluster robust standart errors. However, the dataset also has some extreme outliers and I want to ...
0
votes
1answer
29 views

Why not accounting for a factor unrelated to treatment makes p-values too conservative?

I would like to know if a treatment works, but different subjects are measured across different sites. The site is unrelated to treatment, but it is related to the response (see the figure). If I put ...
0
votes
0answers
8 views

Replicating Results & Clustered Standard Errors in R

I'm using the dataset from the paper Slavery and The Origins of Mistrust in Africa (available at: https://scholar.harvard.edu/nunn/pages/data-0). In the appendix (Table 15) to their paper, the authors ...
1
vote
0answers
11 views

Clustering standard errors at individual and/or organisation level with fixed effects

So, I have a relatively large panel dataset (26,000 observations) with data on speech by individuals belonging to political parties. The data is grouped by individual-week (i.e. an observation for ...
0
votes
1answer
50 views

How to operationalize stratified, cluster survey sample “standard of the mean” in Excel

I have a question on the analysis of complex survey design. Basically, I am trying to replicate the SAS Surveymeans procedure in Excel in order to understand how to operationalize the equations to ...
0
votes
0answers
38 views

Which standard errors should I use in the quaids command in stata?

I am estimating an Almost Ideal Demand System (AIDS) for different meat types using the stata command quaids to calculate price and income elasticities. I have household consumption data over several ...
0
votes
0answers
30 views

Estimate both time-variant and time-invariant parameters consistently

We aim at estimating the following model $$ y_{i t}=x_{i t}^{\prime} \beta+z_{i}^{\prime} \gamma+c_{i}+u_{i t} $$ where $x_{i t}$ is a vector of time-varying regressors, $z_{i}$ is a vector of time-...
0
votes
0answers
18 views

clustering standard errors: odd behavior

I am running a model like $y_{it}=\alpha+\beta_1X_{it} +\beta_2X_{it}D_i$ where $t$ indexes months over many years, $i$ indexes firms, and $D_i=1$ in a particular month of a particular year (e.g., ...
0
votes
0answers
18 views

Why does consistency of cluster robust standard error depend on the number of clusters?

I've seen many hand wavy explanations about it, but when I read White's book for the original reference, the math is too dense. Could someone help me derive this result in terms of the asymptotic ...
0
votes
0answers
13 views

Clustering at different levels

I was wondering how to deal with different levels of clustering. By that, I mean clustering at individual level, time level and e.g. at city level. For instance, let's say there exists 4 people in our ...
1
vote
1answer
36 views

Decision between vcovPC and vcovPL (sandwich)

I want to do a linear probability model with clustered errors. The data also has a panel structure. In the R package “sandwich,” there are two functions: vcovPC() ...
0
votes
0answers
23 views

How can I conduct multiple logistice regression with both penalized (firth) method and with cluster effect?

I am trying to conduct multiple logistic regression with cluster effect. I am using R, so I am using lme4 (glmer) package for adding a cluster effect for 15 schools.As I have a rare event ( Yes as 1= ...
0
votes
1answer
167 views

What does this mean on a stargazer table

I am getting the following reported on my stargazer table after running a regression using felm: ...
1
vote
0answers
152 views

r quantreg - quantile regression with clustered standard errors

I fit a quantile regression using quantreg:::rq on clustered data. I use the Huber sandwich estimator to obtain cluster-corrected standard errors, which is ...
0
votes
0answers
98 views

Obtaining clustered standard errors with speedglm package (Using speedglm with multiwayvcov + lmtest + broom)

I would like to use speedglm::speedglm() provided it is much faster than stats::glm(). Here's a MWE limited to 1000 rows of the ...
1
vote
1answer
70 views

calculate Standard Error of mean of (means over distinct distributions)?

As a motivating example, I want to pick the best racecar. The best racecar is the one that has the highest mean speed across 3 different racetracks (each racetrack is weighted equally). If I take ...
1
vote
0answers
371 views

Random effects and cluster-robust standard errors

I have read that when one adopts Random Effects (RE) there is no need to include cluster-robust standard errors because of the structure and functioning of the RE model itself. Could anyone please ...
0
votes
1answer
35 views

Combining Error Terms into a General Error Term

Lets say I have 4 error terms: $$e_1,e_2,e_3,e_4$$ Each of these error terms come from different simulations of data using different classification methods. Let $\gamma$ be the number of empirical ...
0
votes
0answers
61 views

Cluster standard errors at the individual level in a panel

I am replicating findings of a paper that uses a panel of US counties. The baseline specification is a regression like this: $$Y_{zit} = T_{zit} + X_{zt} + a_{t} + b_{i} + u_{zit}$$ Where Y is an ...