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In this example from http://www.stata-press.com/books/mus.html,
the SEs coincide btw -robust- and -cluster- as well...
*************
use http://www.stata-press.com/data/mus/mus08psidextract.dta,/*
*/ clear
qui{
xtreg /*
*/ lwage exp exp2 wks ed, /*
*/ fe
est store FE_default
xtreg/*
*/ lwage exp exp2 wks ed, /*
*/ fe vce(cluster id)
est store FE_cluster
xtreg /*
*/ lwage exp exp2 wks ed, /*
*/ fe vce(robust)
est store FE_robust
}
estimates table FE_default /*
*/ FE_cluster FE_robust, se
*************
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Carolina Lennon
Gesendet: Dienstag, 9. Juni 2009 09:55
An: [email protected]
Betreff: st: Robust vs Cluster errors using xtreg fe in Stata10
Dear all:
I am working with panel data (countries years) and I was running fixed
effect estimations using alternatively the robust option and cluster
option in Stata 10. To my surprise I have obtained the same standard
errors in both cases. So the question is: is this possible? In theory
they must be different. Additionally, I remember doing the same
exercise (though using other data set) with stata 9 and at that
moment, the SE for the alternative options were different. Maybe I am
doing something wrong!
In particular I am running the following codes:
xtreg depvar regressors year_dummies , fe vce(cluster country)
xtreg depvar regressors year_dummies , fe vce(robust)
where the database was previously defined as the panel:
tsset country year, yearly
Many Thanks
Carolina
Note: the options "robust" and "cluster(country)" give the same result!
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