RESEARCH ON CLUSTER-ROBUST INFERENCE
Recent Developments in Cluster-Robust Inference (2022) (work
with Doug Miller)
November 3 2022 Stata 2022 Economics Virtual
[Earlier presentation December 15 2021
Webinar to International Association for Applied Econometrics Video recording ]
Cluster-Robust Inference Survey (2021)
James MacKinnon, Morten Nielsen, and Matthew Webb, "Cluster-robust inference: A guide to empirical practice", QED Working Paper No. 1456, 2021. [Paper]
Cluster-Robust Inference Survey (2015)
A. Colin Cameron and Douglas L. Miller, "A Practitioner's Guide to Cluster-Robust Inference", Journal of Human Resources, Spring 2015, Vol.50, No. 2, pp.317-373.
[Final version of Cameron Miller JHR A Practitioners Guide to Cluster Robust Inference]
[Data and programs used in Cameron Miller A Practitioners Guide to Cluster Robust Inference]
A readme file and additional description of the programs will be available by August 2015.
Presentation on Robust Inference with Clustered Errors, 2016 Annual Health Econometrics Workshop, Denver, September 2016. [Slides]
Stata command for One-way Wild
Cluster Bootstrap Robust Standard Errors (with
- Stata user-written command boottest written by the following authors.
- David Roodman, James MacKinnon, Morten Nielsen, Matthew Webb (2018), "Fast and Wild Bootstrap Inference in Stata using boottest".
Code for Two-way Cluster Robust
- For IV and hence OLS: Stata addon ivreg2 due to Christopher F Baum, Mark E Schaffer, Steven Stillman. And also xtivreg2
- For OLS our Stata code cgmreg.ado and example of use cgmreg_example.do
Robust Inference for Dyadic Data
A. Colin Cameron and Douglas L. Miller, "Robust Inference for Dyadic Data", December 31, 2014.
[Paper presented at the January 2015 ASSA meetings].
Code for Dyadic Cluster Robust Standard
- For OLS our Stata code is regdyad2.ado
This is very much a "beta version". We are in the midst of editing and tweaking it, but we believe that it runs and works. The syntax to use is:
regdyad2 yvar xvars, dyads(ID_var_1 ID_var_2)
Please let us know if you identify any problems or issues.
Regression Analysis of Count Data, First Edition, Econometric Society Monograph No. 30, Cambridge University Press, Cambridge, October 1998 (with Pravin K. Trivedi). [Abstract, data and programs.]
"The Demand for Health Insurance and Health Care in Australia - A Progress Report", in P.M. Tatchell (ed.), Economics and Health, 1983, Australian National University, Health Economics Research Unit, (with F. Milne, J.R. Piggott, and P.K. Trivedi).
"Econometric Models Based on Count Data: Comparisons and
Applications of Some Estimators and Tests", Journal of Applied
Econometrics, January 1986, Vol. 1, pp. 29-54, (with P.K.
Trivedi). [Abstract.] [Paper
Reprinted in W. Greene (ed.), 2016, Applied Econometrics, chapter 11, Routledge.
"A Microeconometric Model of the Demand for Health Care and
Health Insurance in Australia," Review of Economic Studies,
January 1988, Vol. 55, pp. 85-106, (with P.K. Trivedi, F. Milne,
and J.R. Piggott). [Abstract.]
"Aggregation in Discrete Choice Models: An Illustration of Nonlinear Aggregation", in T.S. Barker and H.M. Pesaran eds., Disaggregation in Economic Modelling, 1990, pp. 206-234, Routledge, London. [Abstract.]
"Regression Based Tests for Overdispersion in the Poisson Model",
Journal of Econometrics, December 1990, Vol.46, pp.
347-364, (with P.K. Trivedi). [Abstract.]
"The Role of Income and Health Risk in the Choice of Health Insurance: Evidence from Australia", Journal of Public Economics, 1991, Vol.45, pp.1-28, (with P.K. Trivedi). [Abstract.]
"Tests of Independence in Parametric Models: with Applications
and Illustrations", Journal of Business and Economic
Statistics, January 1993, pp.29-43 (with P.K.
Trivedi). [Abstract.] [Paper at JSTOR]
"R-Squared measures for Count Data Regression Models with
Applications to Health Care Utilization", Journal of Business
and Economic Statistics, April 1996, pp. 209-220 (with
F.A.G. Windmeijer). [Abstract.] [Paper at JSTOR]
Stata implementation: package rc2.ado due to Joseph N. Luchman.
"Count Data Models for Financial Data", in G.S. Maddala and C.R.
Rao ed., Handbook of Statistics, Vol. 14, Statistical Methods
in Finance, 1996, pp. 363-392, North-Holland, Amsterdam
(with P.K. Trivedi). [Abstract.]
"Private Health Insurance Choice in Australia: The Role of
Long-term Utilisation of Health Services", in H. Lapsley ed.,
Economics and Health: 1995, Proceedings of the Seventeenth
Australian Conference of Health Economists, pp. 143-162,
Australian Studies in Health Service Administration No. 79, School
of Health Services Management, University of New South Wales (with
J. McCallum). [Abstract.]
"An R-squared Measure of Goodness of Fit for some common
Nonlinear Regression Models", Journal of Econometrics,
1997, Vol. 77, No.2, pp. 329-342 (with F.A.G. Windmeijer). [Abstract.] [Preprint] [Paper
Stata implementation of deviance R2: package devr2 due to Sam Brilleman.
"Do Gasoline Prices Respond Asymmetrically to Crude Oil Price
Changes?", Quarterly Journal of Economics, February 1997,
pp. 305-339 (with S.Borenstein and R.Gilbert). [Abstract.] [Paper
"Tactical Information and the Diffusion of Peaceful Protests'', in D.A. Lake and D. Rothchild eds., The International Spread of Ethnic Conflict: Fears, Diffusion and Escalation, Princeton: Princeton University Press, 1998, pp.61-88 (with S. Hill and D. Rothchild). [Abstract.]
"Count Data Regressions using Series Expansions With
Applications'', Journal of Applied Econometrics, 1997,
Vol. 12, pp.203-223 (with P. Johansson). [Abstract.]
at JSTOR] [Data
"Political Action Committee Contributions and Congressional
Voting on U.S. Sugar Legislation", American Journal of
Agricultural Economics, August 1998, 80, 441-454 (with J.C.
Brooks and C.A. Carter). [Abstract.]
"Length of Hospital Stay in Patients
with Decompensated Heart Failure from Moderate to Severe Left
Ventricular Systolic Dysfunction," American Journal of Cardiology, 2001, 88(8),
909-911 (with K.J. Harjai, M. Shah and D. Stapleton).
"A Survival Analysis of Australian Equity Mutual Funds", Australian Journal of Management, September 2003, 209-226 (with Anthony D. Hall). [Abstract.] [Paper]
"On Being New to an Insurance Plan: Health Care Use Associated
with the First Years in a Health Insurance Plan", Annals of
Family Medicine, Sept/Oct 2003, 156-161 (with Peter Franks
and Klea Bertakis). [Abstract.]
"Modeling the Differences in Counted Outcomes using
Bivariate Copula Models: with Application to Mismeasured Counts"
(with Tong Li, Pravin K. Trivedi and David M. Zimmer), Econometrics
Journal, December 2004, 7, 566-584. [Abstract.]
Blume eds., The New Palgrave
Dictionary of Economics (second edition), Palgrave Macmillan,
Mills and K. Patterson eds., Palgrave
Handbook of Econometrics, Volume 2: Applied Econometrics,
“Bootstrap-Based Improvements for Inference with Clustered
Errors” (with Jonah Gelbach and Douglas Miller), Review of Economics and Statistics,
August 2008, Vol. 90, 414-427. [Abstract.]
“Robust Inference with Clustered Data” (with Douglas Miller), A.
Ullah and D. E. Giles eds., Handbook
Empirical Economics and Finance, 2011, pp.1-28, CRC
“Inference for Health Econometrics: Inference, Model Tests, Diagnostics, Multiple Tests and Bootstrap” in Editor-in-chief A.J. Culyer, Encyclopaedia of Health Economics, 2013, Amsterdam: Elsevier, forthcoming. [Preprint]
“Count Panel Data,” in B. Baltagi ed., Oxford Handbook of Panel Data, 2015, Oxford: Oxford University Press, pp.233-256 (with P.K. Trivedi). [Preprint]
“Yangma Expedition,” New
Zealand Alpine Journal, 2011, pp.64-67 (with Ken
“Estimation of Country-Pair Data Models Controlling for Clustered Errors” (with Natasha Chernyshoff nee Natalia Golotvina), 2005. [Abstract.] [Paper]
"Bivariate Count Data Regression using Series Expansions: with
Applications" (with Per Johansson). [Paper]
“Conditional Moment Tests with Explicit Alternatives,” September
1990, U.C.-Davis, Department of Economics, Working Paper No. 366,
revised February 1991 (with P.K. Trivedi). [Working Paper]
“Conditional Moment Tests and Orthogonal Polynomials,” Indiana University, Department of Economics, Working Paper No. 90-051, revised June 1993 (with P.K. Trivedi). [Working Paper] [Revised Paper]
“The Information Matrix Test: Its Components and Implied
Alternative Hypotheses,” U.C.-Davis, Department of Economics,
Working Paper No. 372, revised June 1992 (with P.K. Trivedi). [Working Paper]
“An Alternative Type of Heterogeneity Tested by the Information Matrix Test,” August 1992 (with P.K. Trivedi). [Working Paper]
“Regression Based Tests of Heteroscedasticity in Models Where the
Variance Depends on the Mean,” March 1991, U.C.-Davis, Department
of Economics, Working Paper No. 379. [Working
ADDRESS, EDUCATION AND POSITIONS HELD
Department of Economics
University of California
Davis, CA 95616
(530) 752-9382 (Fax)
B.Ec.(Hons.) Econometrics Australian National University 1977
M.S. Statistics Stanford University 1982
Ph.D. Economics Stanford University 1988
Dept. of Economics, University of California - Davis
Past Director, 2003-05, Center on Quantitative Social Science Research [QSSR website]
Associate Professor, 1996-2000
Assistant Professor, 1989-1996.
Department of Economics, The Ohio State University
Assistant Professor, 1987-1989, Instructor, 1986-1987.
Department of Economics, Australian National University
Visiting Research Fellow, Apr-Sep 1984.