LOGITJACK: Stata module to provide cluster robust inference for logit models

James MacKinnon, Morten Nielsen and Matthew Webb

Statistical Software Components from Boston College Department of Economics

Abstract: logitjack is a stand-alone command that calculates a linearized version of the wild cluster bootstrap for logit models. It will calculate a CV1 variance estimate, with p-values calculated using the t(G-1) distribution for the t-statistics. Native Stata uses the t(N-k) distribution which usually results in over-rejection of the null hypothesis. logitjack calculates a jackknife variance for the linearized model, CV3L, which in practice is very similar to the computationally demandind CV3 variance. logitjack also optionally calculates the brute-force cluster jackknife CV3 variance estimator for logit models.

Language: Stata
Requires: Stata version 13
Keywords: logit; logistic regression; wild cluster bootstrap (search for similar items in EconPapers)
Date: 2024-06-03
Note: This module should be installed from within Stata by typing "ssc install logitjack". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/l/logitjack.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/logitjack.sthlp help file (text/plain)

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