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Re: st: appropriateness of cluster option with xtreg, fe
>
>Re: st: appropriateness of cluster option with xtreg, fe
>From "Johannes Schmieder" <[email protected]>
>To [email protected]
>Subject Re: st: appropriateness of cluster option with xtreg,
fe
>Date Sun, 24 Sep 2006 20:20:16 -0400
The technical note on page 293 of the panel data manual [XT] discusses
briefly the use of "robust" standard errors with panel data models (FE,
RE, ...). The issue is about what you can assume regarding your
idiosyncractic error terms "e_it". If there is heteroskedasticity/serial
correlation in e_it then you need to take this into account by
specifying the "cluster" option. The technical note gives a couple of
references.
Philippe
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