Rodrigo, this is explained in the help-file for xtivreg2. Quoting:
"For fixed-effects estimation with cluster, xtivreg2 makes no
degrees-of-freedom adjustment for
the number of fixed effects. This follows the formulation of a
cluster-robust covariance matrix
for the fixed-effects model as originally proposed by Arellano (1987); see,
e.g., Wooldridge
(2002), p. 275. Stata's official xtivreg, xtreg and areg (as of version
9.1, October 2005), by
contrast, use the (N-N_g-K) adjustment, which is somewhat conservative in
this context. However,
the approach used by xtivreg2 requires that no panel overlaps more than one
cluster. That is,
either the panel variable is identical to the cluster variable, or panels
are uniquely assigned
to clusters. If any panel is contained in more than one cluster, the
xtivreg2 approach is
invalid, and it will exit with an error."
Cheers,
Steve
-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of Rodrigo A.
Alfaro
Sent: Sunday, 6 May 2007 12:35 p.m.
To: [email protected]
Subject: st: xtivreg2, small
Hi all,
I found that -xtdata, fe- can be used with -cluster()- without changing the
degree of freedom, given that the degree of freedom depends only on the
number of cluster!! Besides that, I found that -xtivreg2, small- gives
slightly different standard errors. Is there an additional correction
included in -xtivreg2, fe- that is not in -xtreg, fe-?
Any comment is welcome.
Rodrigo.
*! Example
webuse abdata
qui xtreg n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr1978-yr1983, fe robust
cluster(id)
est store T1
qui xtivreg2 n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr1978-yr1983, fe robust
cluster(id)
est store T2
qui xtivreg2 n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr1978-yr1983, fe robust
cluster(id) small
est store T3
preserve
xtdata n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr1978-yr1983, fe clear
qui reg n nL1 nL2 w wL1 k kL1 kL2 ys ysL1 ysL2 yr1978-yr1983, robust
cluster(id)
est store T4
restore
est table T*, se b(%9.5f)
*
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