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Robust inference with clustered data

  • Colin Cameron

    (University of California-Davis)

This talk considers robust inference for regression models where data are clustered, with correlation of observations in the same cluster (such as state) and independence across clusters. The talk will range from the simplest case of heteroskedastic-ro bust (one individual per cluster) through to complications such as a small number of clusters and two- clustering. The relevant Stata commands and Stata add-ons, where available, will be discussed.

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File URL: http://fmwww.bc.edu/repec/msug2011/cameron.pdf
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Paper provided by Stata Users Group in its series Mexican Stata Users' Group Meetings 2011 with number 07.

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Date of creation: 23 Jul 2011
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Handle: RePEc:boc:msug11:07
Contact details of provider: Web page: http://www.stata.com/meeting/mexico11

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  1. Kloek, T, 1981. "OLS Estimation in a Model Where a Microvariable Is Explained by Aggregates and Contemporaneous Disturbances Are Equicorrelated," Econometrica, Econometric Society, vol. 49(1), pages 205-07, January.
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  21. Marcel Fafchamps & Flore Gubert, 2005. "The Formation of Risk Sharing Networks," Working Papers DT/2005/13, DIAL (Développement, Institutions et Mondialisation).
  22. Lara Shore-Sheppard, 1996. "The Precision of Instrumental Variables Estimates With Grouped Data," Working Papers 753, Princeton University, Department of Economics, Industrial Relations Section..
  23. Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2002. "How Much Should We Trust Differences-in-Differences Estimates?," NBER Working Papers 8841, National Bureau of Economic Research, Inc.
  24. Timothy G. Conley & Christopher R. Taber, 2011. "Inference with "Difference in Differences" with a Small Number of Policy Changes," The Review of Economics and Statistics, MIT Press, vol. 93(1), pages 113-125, February.
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  27. Pepper, John V., 2002. "Robust inferences from random clustered samples: an application using data from the panel study of income dynamics," Economics Letters, Elsevier, vol. 75(3), pages 341-345, May.
  28. Keith Finlay & Leandro M. Magnusson, 2009. "Implementing Weak Instrument Robust Tests for a General Class of Instrumental Variables Models," Working Papers 0901, Tulane University, Department of Economics.
  29. Chernozhukov, Victor & Hansen, Christian, 2008. "The reduced form: A simple approach to inference with weak instruments," Economics Letters, Elsevier, vol. 100(1), pages 68-71, July.
  30. Caroline Hoxby & M. Daniele Paserman, 1998. "Overidentification Tests with Grouped Data," NBER Technical Working Papers 0223, National Bureau of Economic Research, Inc.
  31. Davis, Peter, 2002. "Estimating multi-way error components models with unbalanced data structures," Journal of Econometrics, Elsevier, vol. 106(1), pages 67-95, January.
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