Thomas Cornelissen wrote:
> 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 ?
Probably because the degrees-of-freedom correction is different in each
case. In -reg-, it's (N of obs - k variables - 1); in -reg, cluster()-,
it's (N of clusters - 1). The resultant df is often very different.
Take a look at these posts for more on this:
http://www.stata.com/statalist/archive/2004-07/msg00616.html
http://www.stata.com/statalist/archive/2004-07/msg00620.html
Note that -areg- is the same as -xtreg, fe-!
Hope that helps.
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Politics |e: [email protected]
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