[R-sig-ME] Cluster-robust SEs & random effects -- seeking some clarification

J.D. Haltigan jh@|t|g@ @end|ng |rom gm@||@com
Tue Jul 26 04:37:33 CEST 2022


I am seeking some pedagogical guidance around the conceptual
relationship--if any--between accounting for non-independence of error
residuals in cluster designs via cluster-robust SE approaches & formally
modeling cluster variation (say, villages) using a random effects
parameter. This would be in contrast to a purely fixed effects design,
where the random effects of the cluster-level variable is not modeled (but
cluster-robust SEs are used for the fixed effects).

I realize what I am trying to articulate above may be unclear or garbled,
but what I am asking/trying to better understand is whether if modeling the
random effects formally obviates the need to worry about/account for error
residuals within cluster (e.g., via cluster-robust SEs). Trying to
articulate my wondering in another way: does accounting for cluster
residual non-independence fully address the issue of heteroskedasticity
concerns IF random effects are not formally modeled.

Thanks for any insights in advance.


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