My mistake, you are absolutely right. I was looking at the
BE_options in the help file instead of the FE_options.
----- Original Message Follows -----
From: "Thomas Jacobs" <[email protected]>
To: [email protected]
Subject: Re: st: Why option "robust" and "cluster" doesn't
work?
Date: Wed, 24 Oct 2007 10:05:34 -0500
> Alejandro,
>
> Version 10 certainly does permit using cluster with the
> vce option after either xtreg, fe or xtreg, re.
>
> For example, on another post I made a day or so ago (more
> complicated than necessary but is all I have handy at the
> moment):
>
> xi: xtreg slope15y i.moodyrating|Mslope15y swap15slope,
> fe vce(cluster mktconum)
> i.moodyrating _Imoodyrati_0-19 (naturally coded;
> _Imoodyrati_0 omitted) i.mood~gMs~15y _ImooXMslo_#
> (coded as above) note: robust covariance is not full rank
> ; F test numerator degrees of freedom is 20 instead of
> > 21
>
> Fixed-effects (within) regression Number of
> obs = 166351 Group variable: mktconum
> Number of groups = 190
>
> R-sq: within = 0.2843 Obs per
> group: min = 9 between = 0.4482
> avg = 875.5 overall = 0.3139
> max = 1493
>
> F(20,189) = 340.39
> corr(u_i, Xb) = 0.1384 Prob > F
> = 0.0000
>
> (Std. Err. adjusted for 190 clusters in mktconum)
>
> Robust
> slope15y Coef. Std. Err. t P>t [95%
> Conf. Interval]
>
> Mslope15y .8421038 .1025912 8.21 0.000
> 639733 1.044475 _ImooXMslo_1 -.2351284 .0403382
> -5.83 0.000 -.3146995 -.1555574 _ImooXMslo_2
> -.6510598 .1111743 -5.86 0.000 -.8703616
> -.431758 _ImooXMslo_3 -.5825345 .1362484 -4.28
> 0.000 -.8512975 -.3137716 _ImooXMslo_4 -.8162742
> 1011095 -8.07 0.000 -1.015722 -.6168261
> _ImooXMslo_5 -.8239694 .102474 -8.04 0.000
> -1.026109 -.6218296 _ImooXMslo_6 -.8419379 .1045057
> -8.06 0.000 -1.048085 -.6357904 _ImooXMslo_7
> -.8438201 .1048161 -8.05 0.000 -1.05058
> -.6370603 _ImooXMslo_8 -.8060444 .105 -7.68
> 0.000 -1.013167 -.5989219 _ImooXMslo_9 -.8368847
> 1060561 -7.89 0.000 -1.04609 -.627679
> _ImooXMsl~10 -.8185907 .1042997 -7.85 0.000
> -1.024332 -.6128495 _ImooXMsl~11 -.7526583 .1029494
> -7.31 0.000 -.9557356 -.5495809 _ImooXMsl~12
> -.8299127 .1012824 -8.19 0.000 -1.029702
> -.6301234 _ImooXMsl~13 -.7959784 .1073662 -7.41
> 0.000 -1.007768 -.5841882 _ImooXMsl~14 -.854819
> 102767 -8.32 0.000 -1.057537 -.6521013
> _ImooXMsl~15 -.7806554 .1084974 -7.20 0.000
> -.9946768 -.5666341 _ImooXMsl~16 -.9274818 .1939613
> -4.78 0.000 -1.310089 -.5448747 _ImooXMsl~17
> -.842949 .1033795 -8.15 0.000 -1.046875
> -.6390232 _ImooXMsl~18 .0061745 .1018397 0.06
> 0.952 -.1947139 .2070629 _ImooXMsl~19 -.6648868
> 1018489 -6.53 0.000 -.8657935 -.4639801
> swap15slope -.1419077 .030575 -4.64 0.000
> -.2022198 -.0815956 _cons .0048621 .0003458
> 14.06 0.000 .0041799 .0055442
>
> sigma_u .00455044
> sigma_e .01011707
> rho .16826102 (fraction of variance due to u_i)
>
> On 10/24/07, feldman <[email protected]> wrote:
> > But if you use xtreg, fe the vce() option doesn�t
allow
> > cluster so that still doesn�t answer why cluster after
> > xtreg, fe was allowed in Stata 9 but not in Stata 10.
> >
> > Alejandro
> >
> > ----- Original Message Follows -----
> > From: "E. Paul Wileyto" <[email protected]>
> > To: [email protected]
> > Subject: Re: st: Why option "robust" and "cluster"
> > doesn't work?
> > Date: Tue, 23 Oct 2007 13:40:51 -0400
> >
> > > Try using the more general vce option. I got
> > > surprised by this earlier as well, and found that
> > > while cluster() still works for many of the routines,
> > > vce will often work when cluster will not.
> > >
> > > I can see why the Stata Gods have deemed this good.
> > > It subsumes clustering, bootstrapping, jackknife, and
> > > all manner of methods under one option.
> > >
> > > Paul
> > >
> > > feldman wrote:
> > > > 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/
> > > >>> -----------------------------------------
> > > >>>
> > > >>>
> > > >>>
> > > >>>
> > > >>
> > >
> > >
> __________________________________________________________
> > > >> >>> _ Want ideas for reducing your carbon
> > > footprint? Visit >>> Yahoo! For Good >>>
> > >
> > >
> http://uk.promotions.yahoo.com/forgood/environment.html
> > > >>> * * For searches and help try: >>> *
> > > http://www.stata.com/support/faqs/res/findit.html >>>
> > > * http://www.stata.com/support/statalist/faq >>> *
> > > http://www.ats.ucla.edu/stat/stata/ >>> >>>
> > > >> *
> > > >> * For searches and help try:
> > > >> *
> > > http://www.stata.com/support/faqs/res/findit.html >> *
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> > > > *
> > > > * For searches and help try:
> > > > *
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> > > http://www.ats.ucla.edu/stat/stata/ >
> > > >
> > >
> > > --
> > > E. Paul Wileyto, Ph.D.
> > > Assistant Professor of Biostatistics
> > > Tobacco Use Research Center
> > > School of Medicine, U. of Pennsylvania
> > > 3535 Market Street, Suite 4100
> > > Philadelphia, PA 19104-3309
> > >
> > > 215-746-7147
> > > Fax: 215-746-7140
> > > [email protected]
> > > http://mail.med.upenn.edu/~epw/
> > >
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/support/faqs/res/findit.html
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> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
>
> --
> Thomas Jacobs
>
> *
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*
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