But why was the cluster option available in Stata 9 and is
not in Stata 10?
----- Original Message Follows -----
From: "Schaffer, Mark E" <[email protected]>
To: <[email protected]>
Subject: RE: st: Why option "robust" and "cluster" doesn't
work?
Date: Sun, 21 Oct 2007 21:10:39 +0100
> 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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