Evaluating one-way and two-way cluster-robust covariance matrix estimates
AbstractThis presentation updates Nichols and Schaffer's 2007 UKSUG talk on clustered standard errors. Although cluster-robust standard errors are now recognized as essential in a panel data context, official Stata only supports clusters that are nested within panels. This rules out the possibility of defining clusters in the time dimension, and modeling contemporaneous dependence of panel units' error processes. We build upon recent analytical developments that define 2-way (and conceptually n-way) clustering, and the implementation in 2010 of 2-way clustering in the widely used ivreg2 and xtivreg2 packages. We present examples of the utility of 1-way and 2-way clustering using Monte Carlo techniques, a comparison with alternative approaches to modeling error dependence, and consider tests for clustering of errors.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Stata Users Group in its series BOS10 Stata Conference with number 11.
Date of creation: 20 Jul 2010
Date of revision:
Other versions of this item:
- Christopher F Baum & Austin Nichols & Mark E Schaffer, 2010. "Evaluating one-way and two-way cluster-robust covariance matrix estimates," United Kingdom Stata Users' Group Meetings 2010 12, Stata Users Group.
- Christopher F Baum & Austin Nichols & Mark E Schaffer, 2011. "Evaluating one-way and two-way cluster–robust covariance matrix estimates," German Stata Users' Group Meetings 2011 02, Stata Users Group.
- NEP-ALL-2010-07-31 (All new papers)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Silvia Sacchetti & Ermanno C. Tortia, 2012. "A “Human Growth” Perspective on Organizational Resources and Firm Performance," Department of Economics Working Papers 1209, Department of Economics, University of Trento, Italia.
- Andréas Heinen & Malika Hamadi & Guillermo Baquero, 2013. "Competition, Loan Rates and Information Dispersion in Microcredit Markets," Working Paper CRENoS 201314, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Abebe, Gumataw K. & Bijman, Jos & Kemp, Ron & Omta, Onno & Tsegaye, Admasu, 2013. "Contract farming configuration: Smallholders’ preferences for contract design attributes," Food Policy, Elsevier, vol. 40(C), pages 14-24.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.