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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1answer
468 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
344 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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175 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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1answer
63 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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284 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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611 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
136 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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1answer
3k 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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84 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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335 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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34 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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496 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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1answer
1k 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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1answer
317 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
121 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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159 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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521 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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31 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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1answer
882 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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103 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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288 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
1k 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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47 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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773 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
363 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
1k 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
5k 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
651 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
135 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
3k 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
136 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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0answers
110 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
34 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 ...
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1answer
2k views

Moulton Factor and Clustering of Standard Errors with Heteroscedasticity

When running a linear regression, standard errors may need to be adjusted for clustering. One way to do so is to multiply the "conventional" variance estimate by the Moulton factor, defined for ...
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0answers
141 views

Implementing analytic block-cluster-robust standard errors

How do we calculate block-cluster-robust SEs for the average-treatment effect? (Note, I do not want block bootstrap. I want the analytic estimate, calculated with block-population-weighted block-level ...
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1answer
128 views

Cluster-robust error for pearson correlation

How can I get cluster-robust errors (for generating confidence intervals) on a Pearson correlation coefficient? I know that I can generate cluster-robust errors for a coefficient in a linear model. ...
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0answers
206 views

ICC and Clusters

I'm studying a dataset of 10,400 observations (schools) across Italy. My dependent variable is at school level, while among my explanatory variables I have some of them at province level (the main ...
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1answer
471 views

Does “coeftest” correctly use weights from “svydesign” in “svyglm” object

I am using data from the European Social Survey (ESS) and I would like to calculate country-level cluster-robust standard errors for a regression model in R that includes country fixed effects and ...
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1answer
137 views

Comparing Polynomial and Linear Model

I have a panel data with unbalanced panel. I am testing a non-linear relationship. I tested a polynomial(quadratic) model for this purpose with following codes in stata. ...
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1answer
410 views

Correct standard error and p-values for Bradley-Terry model applied to ranking data (“rank-breaking”)

One way to analyze ranking data is to use the Bradley-Terry data by converting ranks to pairwise comparisons (e.g. a>b>c becomes a>b, b>c, a>c) This is called "rank-breaking" in the machine learning ...
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0answers
843 views

Should I cluster my standard errors even when using a multilevel model?

I've been reading up on multilevel modeling, and have noticed that many sources seem to frame it as an "alternative" to using cluster-robust standard errors. My question: Are they really alternatives?...
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122 views

When autocorrelation is present, but no evidence of the need of fixed effect is found, can one just use random effects or clustered std errors?

Suppose that you have a cross-sectional panel-data, in the format of country-year and estimate a given model specification m. An example in R (although the question ...
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0answers
69 views

Cox PH model: Why are White and clustered SE's (on individual level) identical?

I just ran a Cox model with some covariates interacted with survival time to account for violations of the PH assumption. To do that, I needed to create a multi-episode dataset with an observation for ...
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0answers
41 views

Modelling a censored outcome (tobit) with correlated data (random effect) in R [duplicate]

I have a continuous outcome that I need to assume is right-censored, so I'm looking for a way to fit a tobit regression model, however, my data are from family pedigrees so I also have to account for ...
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0answers
54 views

How to analyse paired data lacking pairing information? [duplicate]

A colleague has a dataset from a before and after study looking at a continuous outcome that was measured in individuals before and after an intervention. An unknown but not insubstantial proportion ...
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2answers
2k views

What level should I cluster at?

I have panel data over two years for 8000 observations (all over the age of 21). 2000 of the observations are siblings. If I have cluster by family, I have 6000 clusters. If I cluster by individuals,...
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1answer
155 views

What is the right mixed effects models for data that is both nested and not?

I have a dataset that includes nested observations as well as repeat observations that are not nested (I'm not sure this is the best way to describe it, but stay with me). Here are the specific ...
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0answers
444 views

How to specify the Bayesian version of a clustered-robust standard error OLS in BUGS/JAGS or Stan?

I am trying to reproduce a simple OLS model fitted with clustered-robust standard errors within the Bayesian framework (be it with BUGS/JaGS or with Stan). In R, my frequentist model is the following:...
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1answer
2k views

Bootstrapping in Binary Response Data with Few Clusters and Within-Cluster Correlation

Beware: This is (almost) a cross-post to a thread I started on the Statalist but that has not received much attention so far. Introduction I am learning about the problems when conducting ...