st: RE: xtreg, re with cluster option

["Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov>]

Elena - 

If the dependent variable is one observation for each individual, I
don't believe a panel model applies, so there would be no need of
cluster( ). It doesn't matter what the heirarchy is for the explanatory
variables. With homoscedastic errors and a normal distribution
assumption you can just use the ordinary least squares  command -reg-.
On the other hand if your dependent variable has a multilevel structure
then you could use -xtreg-(2 levels, random intercept only) or more
generally -xtmixed- where you can have different random effect variances
and random slopes at each heirarchical level. 

Al Feiveson

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Elena Giarda
Sent: Tuesday, July 25, 2006 3:31 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: xtreg, re with cluster option

Dear Statalisters,

I have to run a panel data regression with random effects of individual
wages on a set of explicative variables which include a macro variable
(the unemployment rate).

Note that I use Stata8.

I'm facing the problem of the different level of aggregation of
individual wages and aggregate unemployment rate. With a pooled
regression I'm aware that I can use the "cluster" option: e.g.
cluster(year). Unfortunately this option is not availble for xtreg in
Stata8.

Has anyone ever faced this problem? Do you have any suggestions on how
to proceed?

Many thanks!
Elena Giarda

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