Many thanks Martin and Austin!
I am new in this list and I am greatly surprised by your fast and
helpful response !
Then, what I learnt is that, differently form Stata 9, in Stata10 the
robust and cluster options are identical for the "xtreg fe"
regressions.
It seems that I need to read the article of Stock and Watson! to see
why it is always required to adjust for cluster in order to correct SE
for Heteroskedasticity in FE estimations.
Previously, I thought that sometimes it could be not advisable to
implement cluster errors but still to implement robust errors (then,
the utility of having the two options separately). For instances,
when the number of observations were higher enough but either the
number of clusters was lower than 50 or the number of explanatory
variables exceeded the number of clusters. In any case, the response
might be in the article! then many thanks again!
Carolina
2009/6/9 Martin Weiss <[email protected]>:
>
> <>
>
> 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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>
>
> *
> * For searches and help try:
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>
--
Carolina Lennon
Mobile in France: (33) 06 35 34 04 40
Mobile in Austria: (43) 06 76 59 24 553
Office at Wiiw in Vienna: (43) 01 533 66 10 86
Institute website: http://www.wiiw.ac.at
Personal website: http://carolina.lennon.research.googlepages.com/
*
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