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Clustered standard errors in Stata

Author

Listed:
  • Austin Nichols

    (Urban Institute)

  • Mark E Schaffer

    (Heriot-Watt University)

Abstract

A brief survey of clustered errors, focusing on estimating cluster–robust standard errors: when and why to use the cluster option (nearly always in panel regressions), and implications. Additional topics may include using svyset to specify clustering, multidimensional clustering, clustering in meta-analysis, how many clusters are required for asymptotic approximations, testing coefficients when the Var–Cov matrix has less than full rank, and testing for clustering of errors.

Suggested Citation

  • Austin Nichols & Mark E Schaffer, 2007. "Clustered standard errors in Stata," United Kingdom Stata Users' Group Meetings 2007 07, Stata Users Group.
    • Handle: RePEc:boc:usug07:07
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