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RE: st: RE: RE: difference between robust and cluster option
From
"Jing Zhou" <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: RE: difference between robust and cluster option
Date
Mon, 19 Jul 2010 12:19:52 +1000
thank you very much. i have located the messages!
Jing
>>> "Kieran McCaul" <[email protected]> 19/07/2010 12:14 pm >>>
...
All Statalist messages are archived so you can read them there:
http://www.stata.com/statalist/archive/
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Jing Zhou
Sent: Monday, 19 July 2010 8:59 AM
To: [email protected]
Subject: RE: st: RE: RE: difference between robust and cluster option
i am sorry...yesterday one of the experts told me how to cluster both
firm and year by install some programs. but i deleted the email by
mistake. could you please kindly send me again the commands?
many thanks!!
Jing
>>> "Ma, Guang" <[email protected]> 17/07/2010 4:46 pm >>>
Do you mean you have 560*9=5040 or fewer observations in total? Or you
have multiple observations for each firm-year? If the former, you
cannot
cluster by both firm and year. If the latter, you can define a new
variable called "class" (for example) which concatenates firm and year
("IBM1990", for example). then use the following command:
xtreg y x, fe vce(cluster class) nonest
where "nonest" is a new option to specify that "panels are not nested
within clusters".
Hope it helps.
Guang Ma
________________________________________
From: [email protected]
[[email protected]] on behalf of Jing Zhou
[[email protected]]
Sent: Saturday, July 17, 2010 12:15 AM
To: [email protected]
Subject: AW: st: RE: RE: difference between robust and cluster option
according to Petersen (2009) (estimating standard errors in finance
panel data sets: comparing approaches, review of financial studies,
2009.), the standard errors clustered by firm and time can be a useful
robustness check. My dataset is a sample of 560 firms over 9 years
(unbalanced). Could you please advise me how I can cluster both firm
and
time in my analysis by using stata. cos when typing "xtreg, fe cluster
(year)", the result shows "panels are not nested within clusters".
Many thanks!
Jing
>>> "Martin Weiss" <[email protected]> 16/07/2010 9:18 pm >>>
<>
Maybe
update 25feb2008
...
20. xtreg, fe now uses vce(cluster id) when vce(robust) is
specified,
in light of the new results in Stock and Watson,
"Heteroskedasticity-robust standard errors for fixed-effects
panel-data regression," Econometrica 76 (2008): 155-174.
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Nils
Braakmann
Gesendet: Freitag, 16. Juli 2010 13:08
An: [email protected]
Betreff: Re: st: RE: RE: difference between robust and cluster option
As far as I know, using -robust- with a fixed effects estimator now
automatically uses -cluster(id)- since some update in version 10.1
(might also be 10.0). The reason (again as far as I know) ist that
Stock and Watson showed in an Econometrica-article in 2008 that the
"normal" robust SEs are inconsistent with a FE-estimator (see James H.
Stock and Mark Watson, 2008: “Heteroskedasticity-Robust Standard
Errors for Fixed Effects Panel Data Regression”, Econometrica 76(1):
155-174). So, my guess would be that your results are identical
because both of your approaches in fact use -cluster(id)- (and rightly
so).
Best,
Nils
On Fri, Jul 16, 2010 at 7:18 AM, Ma, Guang <[email protected]>
wrote:
> The coefficients estimated should be the same, since they are
unbiased
under both "robust" and "cluster", but the t-values and standard
errors
should differ. You may still get the same t-values, though, depending
on
your data and cluster variables.
>
>
> Guang Ma
> Accounting Department
> The University of Texas at Dallas
> School of Management, SM41
> Richardson, TX 75080
>
>
>
>
>
> -----Original Message-----
> From: [email protected]
[mailto:[email protected]] On Behalf Of Jing Zhou
> Sent: Friday, July 16, 2010 12:09 AM
> To: [email protected]
> Subject: st: RE: difference between robust and cluster option
>
> thank you for your advisement. I tried cluster and robust in FE
model
individually, but the results are exactly the same. if "robust" only
control
for heteroskedasiticity while "cluster" for heteroskedasticity and
serial
correlation, why there is no difference between the two regressions?
>
>>>> "Ma, Guang" <[email protected]> 16/07/2010 2:54 pm >>>
> Anyone is welcomed to correct me if I made any mistake.
>
> I think cluster can take good care of both heteroskedasticity and
serial
correlation, as long as you cluster in a panel way. "robust" is just
heteroskedasticity consistent since it uses 1/(1-h)^2 as weights.
Check
this
paper: Petersen, M. A. 2009. "Estimating standard errors in finance
panel
data sets: Comparing approaches." Review of Financial Studies 22 (1):
435-480.
>
>
> Guang Ma
> Accounting Department
> The University of Texas at Dallas
> School of Management, SM41
> Richardson, TX 75080
>
>
>
> -----Original Message-----
> From: [email protected]
[mailto:[email protected]] On Behalf Of Jing Zhou
> Sent: Thursday, July 15, 2010 8:34 PM
> To: [email protected]
> Subject: st: difference between robust and cluster option
>
> To control for the heteroskedasticity and serial correlation in FE
and RE
models, do I need to add only "robust" or both "robust"and "cluster"
option
in the corresponding command? And after this remedy, is it unnecessary
to
worry about the two problems?
>
>
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