[Limdep Nlogit List] correcting standard errors for clustered survey data

[Peter Glick]

Bill,

Thank you for your reply.

Unfortunately, while the cluster command seems to work fine for simpler 
models (provided the data are first sorted by cluster) it does not for 
nlogit.  I am using the setup where the data are arranged one line per 
alternative and the utility fns are written in the model 
statement.  Essentially, nlogit does not carry out the cluster command, 
though it clearly reads it since putting in an incorrect cluster name leads 
to an error message.

Is there anything I can do? Has the option been extended to nlogit in an 
updated version? We have nlogit v8.

An another note, your skepticism about the cluster estimator has me curious 
as I have not heard this except in regards to problems when there is 
a  small number of clusters (discussed by e.g., Wooldridge and 
Bertrand,Duflo, and Mullainathan).  Is there a critical paper on this by 
you or others?

Thanks again for your help..

Peter

At 11:21 AM 6/22/2006 -0400, William Greene wrote:
>Peter.
>The 'cluster' correction is a different thing from the 'robust' estimator, 
>I would argue.
>The issue is methodological.  My point is the one that you make in your 
>(1). About
>the cluster estimator, while I am a little skeptical of it, I have 
>observed in applications
>that it seems to do what it is argued to be attempting to do.  So, I would 
>agree with
>your point 1.  On 2, you should be able to use ;CLUSTER = spec. where spec 
>is either
>a number indicating a fixed cluster size or a variable name that contains 
>a group
>identifier such as the cluster number.
>/Bill Greene
>
>************************************************
>Professor William Greene
>Department of Economics
>Stern School of Business
>New York University
>44 West 4th St., Rm. 7-78
>New York, NY   10012
>Ph. 212.998.0876
>Fax. 212.995.4218
>URL. http://www.stern.nyu.edu/~wgreene
>Email. wgreene at stern.nyu.edu
>************************************************
>
>----- Original Message -----
>From: Peter Glick <pjg4 at cornell.edu>
>Date: Thursday, June 22, 2006 11:02 am
>Subject: [Limdep Nlogit List] correcting standard errors for 
>clustered  survey data
>
> > Dear Professor Greene (and list members),
> >
> > I would like adjust my multinomial logit standard errors for
> > sample design
> > (correlations of errors within clusters).  I was hoping there
> > would be a
> > general command for this in Limdep (I have version 8)  but there
> > seems not
> > to be.  Assuming this is correct, it would be very helpful to have
> > a few
> > points clarified:
> >
> > 1.   The manual (under 'Robust Standard Errors') warns against
> > using the
> > Huber White robust covariance matrix for nonlinear models because
> > the very
> > need for this correction, e.g.,  heteroskedasticity, in effect
> > means the
> > parameters themselves are not consistent.  I assume that this does
> > not
> > refer to intra-cluster error correlations (violation of the
> > independence
> > assumption), since if it did, parameter estimates from just about
> > all
> > nonlinear models using standard household surveys would be
> > inconsistent.  Am I correct?
> >
> > 2.   Despite the warning, the manual notes that for the discrete
> > choice
> > models that allow choice based sampling, one can obtain the White
> > robust
> > standard errors using: "; Wts = ONE ; Choice Based".   But I
> > believe this
> > would yield the standard sandwich estimator which would not be the
> > appropriate one for correcting for cluster correlations of the
> > errors, i.e,
> > it assumes independence.  Is this correct?   If so, I would need
> > to
> > construct the appropriate matrix using the scores, etc.  Has
> > anyone done
> > this and could they provide code?
> >
> > Many thanks..
> >
> > Peter Glick
> > Cornell University
> > _______________________________________________
> > Limdep site list
> > Limdep at limdep.itls.usyd.edu.au
> > http://limdep.itls.usyd.edu.au
> >
>
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