Igor Sosa Mayor
2017-Aug-03 08:14 UTC
[R] Results of vcovCL (sandwich) and of cluster() in Stata
Hi, I'm trying to reproduce with R the results of this study: https://learn.gold.ac.uk/mod/resource/view.php?id=262406 More precisely I want to reproduce the results of the table 6 (pag.280), which can also be seen here: http://picpaste.de/pics/table-robin-llKCOeWV.1501745645.png Let's take the first column: we have a coeff. of 0.097 and a SE of 0.026, which represents clustered robust standard errors. If I try to reproduce in R the analysis, I get the same coefficient, but I'm not able to get the same SE. The author made the stata file available here: https://drive.google.com/file/d/0B_QoCd-1jkVXTmNDWmViWkJFdmM/edit?usp=sharing (see: http://www.jaredcrubin.com/research) To make the regression, he uses (as far as I can understand the stata code) the following command: local conditions "city != "Mainz" & city != "Wittenberg" & city != "Z?rich"" reg prot1530 press if `conditions' & pop1500 != ., noconstant robust cluster(territory) I'm trying to translate this into R-code doing the following: library(foreign) library(dplyr) library(lmtest) library(sandwich) # the data are here: # https://drive.google.com/file/d/0B_QoCd-1jkVXRGdUMTlkYTNiNGc/edit?usp=sharing cities <- read.dta("data/Printing_and_Protestants_Data-ReStat.dta") # we filter the data cities <- filter(cities, !is.na(pop1500)) cities <- filter(cities, city != "Z?rich" & city != "Mainz" & city != "Wittenberg") # the model m1 <- lm(prot1530 ~ press - 1, data = cities) # the clustered standard errors coeftest(m1, vcov. = vcovCL(m1, cluster=cities$territory)) I tried different types (HC1, HC2, etc), but always the value for the SE is not the same as in the table. Any ideas? Many thanks in advance. -- :: Igor Sosa Mayor :: joseleopoldo1792 at gmail.com :: :: GnuPG: 0x1C1E2890 :: http://www.gnupg.org/ :: :: jabberid: rogorido :: ::