st: Clustered standard errors in -xtreg-

[Thomas Cornelißen<cornelissen@ewifo.uni-hannover.de>]

Dear all,
I am comparing two different ways of estimating a linear fixed-effects 
model:

Method 1: Use -regress- and include dummy variables for the panels.
Method 2: Use -xtreg, fe-.

These two deliver exactly the same estimates of coefficients and their 
standard errors (if I do not cluster the standard errors).

However, if I use the option -cluster- in order to get clustered 
standard errors (clustered on the panel ID), I get different results
with the two ways of estimating the model.

Why is this ?

Best,
Thomas

-------------------------------
Thomas Cornelissen
Institute of Empirical Economic Research
University of Hannover

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