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Re: Clustered Standard Errors [message #22185 is a reply to message #22173] Tue, 09 February 2021 12:24 Go to previous messageGo to previous message
analyst_till is currently offline  analyst_till
Messages: 10
Registered: January 2021
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Thanks for the tips concerning the Strata.

With respect to the districts: Although my unit of analysis is the individual, my identification strategy relies on changes at the district-level. Therefore, I include district fixed effects in my regression framework and as far as I know, these are reflected by "i.district".
Please correct me if I am wrong, but I guess this term is crucial to guarantee that I compare only observations of the same districts over time?
As far as I know, STATA breaks the arising collinearity between i.district and i.treatment by dropping one of the district fixed effects.

Also, I am still a bit confused about the clustered standard errors. According to Duflo et al. 2004, one can tackle the issue of serial correlation in a diff-in-diff by clustering standard errors at group-level, allowing for autocorrelation within the groups.
Since the group/cohort in my panel is district, shouldn't I cluster standard errors at district level?
If standard errors are clustered at PSU-level through "svyset", I would not cluster SE at the level of my cohort.

Is it possible that I have to code?:
svyset districts [pweight=v005], strata(stratum_ID) singleunit(centered)

Sorry if it was not clear, I hope you understand what I mean!
Best,

Till

[Updated on: Tue, 09 February 2021 12:25]

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