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

Author

Listed:
  • James G. MacKinnon

    (Queen's University)

  • Morten Ørregaard Nielsen

    (Aarhus University)

  • Matthew D. Webb

    (Carleton University)

Programming Language

Stata

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.

Suggested Citation

  • James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2024. "LOGITJACK: Stata module to provide cluster robust inference for logit models," Statistical Software Components S459337, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459337
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/l/logitjack.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/logitjack.sthlp
    File Function: help file
    Download Restriction: no
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