Abstract
We introduce a new command, summclust, that summarizes the cluster structure of the dataset for linear regression models with clustered disturbances. The key unit of observation for such a model is the cluster. We therefore propose cluster-level measures of leverage, partial leverage, and influence and show how to compute them quickly in most cases. The measures of leverage and partial leverage can be used as diagnostic tools to identify datasets and regression designs in which cluster–robust inference is likely to be challenging. The measures of influence can provide valuable information about how the results depend on the data in the various clusters. We also show how to calculate two jackknife variance matrix estimators efficiently as a by-product of our other computations. These estimators, which are already available in Stata, are generally more conservative than conventional variance matrix estimators. The summclust command computes all the quantities that we discuss.
| Original language | English |
|---|---|
| Journal | Stata Journal |
| Volume | 23 |
| Issue | 4 |
| Pages (from-to) | 942-982 |
| Number of pages | 41 |
| ISSN | 1536-867X |
| DOIs | |
| Publication status | Published - Dec 2023 |
Keywords
- clustered data
- cluster–robust variance estimator
- CRVE
- grouped data
- high-leverage clusters
- influential clusters
- jackknife
- partial leverage
- robust inference
- st0733
- summclust