Ngoc Anh Vo Thi,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Maarten buis
> Sent: 21 October 2007 10:49
> To: [email protected]
> Subject: Re: st: Why option "robust" and "cluster" doesn't work?
>
> --- Ngoc Anh Vo Thi <[email protected]> wrote:
> > I'm estimating a panel data model with xtreg, fe using
> Stata 8.2, and
> > want to obtain robust standard errors and test stat.
> However, when I
> > add the "robust"/ "cluster" option after fe, it doesn't
> work. It was
> > said "Option robust not allowed". I'm wondering whether
> there's a bug
> > with my version of Stata.
>
> There isn't a bug in your version of Stata, that option is
> not allowed. If you type -help xtreg- you will find a list of
> legal options, and -robust- isn't in that list, nor is it in Stata 10.
It's available in Stata 9, but that doesn't help someone who has only
Stata 8.2 available.
-xtivreg2- will do you what you want, though - it requires only Stata
8.2. You'll also need to install -ivreg28-, which, as the "8" suggests,
also runs in Stata 8.2. Just -findit xtivreg2- and -findit ivreg28-
from within Stata, and follow the links to install.
But - note that Stock and Watson (2006), in an NBER technical working
paper
http://www.nber.org/papers/t0323
show that the heteroskedasticity-robust covariance estimator is not
consistent with fixed effects. The cluster-robust estimator is OK,
though.
HTH.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
>
> Hope this helps,
> Maarten
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology Vrije Universiteit
> Amsterdam Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
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