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

[James Pustejovsky]

>
>
> When you note, 'if you trust the specification of your random effects
> structure' can you elaborate on this? I imagine in the extreme, no random
> effects structure will ever truly be perfect, so I guess it comes down to
> some combination of theory, practicality, and model tractability?
>

Sure. Clearly, any model is a stylized and approximate representation of
the true process. By "trust the specification" I just mean that you--and
usually, also readers or potential critics--think that the random effects
structure of the model is an adequate representation of the features of the
data-generating process. In more colloquial terms, did you (the analyst) do
a good job of developing the model?

I think it's pretty helpful to think about this stuff in terms of
convincing an audience. In practice, and given the current reporting
conventions in social science disciplines, it's often pretty hard for
readers/reviewers/critics to gauge whether an analyst has done a good job.
In such contexts, cluster-robust SEs give some additional assurance (or
insurance, the analogy in my previous message) that the inferences can be
trusted even if the analyst didn't engage in a thorough, diligent
model-building process.

James

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