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st: RE: Cluster Option
Max,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Max Steinhardt
> Sent: 05 May 2006 09:21
> To: [email protected]
> Subject: st: Cluster Option
>
> Dear statalist users,
> can someone answer the following question concerning panels:
> is it possible to control for cross-sectional correlation
> with the cluster option?
"control for" is perhaps not the best phrase to use in connection with the cluster option. The cluster-robust approach gives you (in certain circumstances) standard errors that are consistent in the presence of heteroskedasticity and (certain types of) serial correlation. The coefficient estimates are unaffected.
> e.g. my dataset suffers from serial correlation across groups.is using
> cluster(groups) a possible solution for this, or controls
> cluster only for correlation over time?
I'm not positive I understand properly the problem you're facing, but I suspect this isn't one of the circumstances where this approach works. Cluster-robust allows for arbitrary heteroskedasticity and within-group correlation, but you still need independence across groups.
Cheers,
Mark
> Best, Max
>
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