Tobit Cluster-robust standard errors

[Yari Visser]

Dear Stata users,

I am writing a paper in which I estimated a general (pooled) Tobit model. The dependent variable is left-censored at zero. In order to obtain parameter estimates and cluster-robust standard errors I ran the following line:

tobit pmedalshare lngdp lnpop polity host $yeardummies, ll(0) vce(cluster id)

I want to replicate the cluster-robust standard errors manually, i.e., without the vce(cluster id) option.

For example, the estimated variance-covariance matrix from the standard Tobit, i.e.,

tobit pmedalshare lngdp lnpop polity host $yeardummies, ll(0)

is easily replicated by the inverse of negative estimated Hessian from the (Tobit) log-likelihood function.

Any help is highly appreciated.

[Carlo Lazzaro]

Yari:
welcome to this forum.
See -help vce_option- and related entry in Stata .pdfr manual.
Your research aim forebodes somethng really challenging.

[Yari Visser]

Dear Carlo,

Thank you for your reply. Using both the Stata manual and papers on White standard errors I got close but I am not there yet.

[Mahsa Paridar]

Dear Carlo,

Thank you for your reply. Using both the Stata manual and papers on White standard errors I got close but I am not there yet.

Hi Yari, I was wondering if you were able to replicate the cluster-robust standard errors manually, and mind sharing your code for doing so? Thanks in advance!