<>
Ok, cheers, that explains the observation that Stata 9 gave different
results...
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Austin Nichols
Gesendet: Dienstag, 9. Juni 2009 12:06
An: [email protected]
Betreff: Re: st: AW: Robust vs Cluster errors using xtreg fe in Stata10
Carolina Lennon and Martin--
-help whatsnew- and search for xtreg to see why (stock and watson ref)
On Tue, Jun 9, 2009 at 5:52 AM, Martin Weiss<[email protected]> wrote:
>
> <>
>
> 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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