Re: st: cluster robust SE options in 2SLS

["Shang E. Ha" <shang.ha@yale.edu>]

Thank you. But my question was why these two commands produce different 
standard
errors. In Stata 10, "ivregress 2sls Y (Z=X), vce(cluster unit)" simply 
replaces
"ivreg Y (Z=X), robust cluster(unit)", which used to be standard in Stata 9.

Best,
Shang

Quoting Joshua A Shindell <shindell@uwm.edu>:

> The cluster option is used to correct for serial correlation within 
> each cluster unit over time.  The cluster option may only be 
> necessary for panel data, and should give a more conservative of an 
> estimate of your standard errors.  If you're using cross-sectional 
> data, robust standard errors should be fine.
>
> Josh
>
>
> ----- Original Message -----
> From: "Shang E. Ha" <shang.ha@yale.edu>
> To: statalist@hsphsun2.harvard.edu
> Sent: Monday, March 23, 2009 9:24:05 AM GMT -05:00 US/Canada Eastern
> Subject: st: cluster robust SE options in 2SLS
>
> Hi,
>
> Can anyone look up the difference between these two standard error 
> options; for
> some reason they are producing slightly different standard errors.
>
>  ivregress 2sls Y (Z = X), vce(cluster unit)
>
>  ivreg Y (Z = X), robust cluster(unit)
>
> Thanks!
>
> Best,
> Shang E. Ha
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