I have a panel data of the format
I am using xtmixed where level 2 is app_id. My primary regressor of interest :
changes at rank_category level. I am also using autoregressive model residuals(ar 1, by(rank_category) t(age.months)) .
I am confused if I should be clustering the standard errors at level of app_id or that of rank_category.
Another conceptual doubt that I have is, if I cluster errors at app_id level, it would take care of the serial autocorrelation between different observations for each app_id. However, that was the reasoning behind using the autoregressive model. So, is it necessary to use both approaches together, or is it alright to cluster the errors at rank_category level? To come out clean, clustering at rank_category level gives me favorable results.
Any suggestions would be greatly appreciated! Thanks!
-- Harshal
Code:
| age.months | app_id | rank_category | promoted | avg_monthly_rating |
Code:
(i.promoted#i.rank_category)
I am confused if I should be clustering the standard errors at level of app_id or that of rank_category.
Another conceptual doubt that I have is, if I cluster errors at app_id level, it would take care of the serial autocorrelation between different observations for each app_id. However, that was the reasoning behind using the autoregressive model. So, is it necessary to use both approaches together, or is it alright to cluster the errors at rank_category level? To come out clean, clustering at rank_category level gives me favorable results.
Code:
xtmixed avg_monthly_rating age.months i.promoted##i.rank_category, || app_id : age.months, covariance(unstructured) residuals(ar 1, by(rank_category) t(age.months)) variance mle vce(cluster rank_category)
Any suggestions would be greatly appreciated! Thanks!
-- Harshal