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Re: RE: st: RE: RE: difference between robust and cluster option
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: RE: st: RE: RE: difference between robust and cluster option
Date
Tue, 20 Jul 2010 07:16:05 -0400
<>
On Jul 20, 2010, at 2:33 AM, Jing wrote:
> Based on some expert's recommendation, I used "xtivreg2, cluster (firm
> year)" to cluster the standard errors both on firm and time. the results
> show that all my regressors are automatically included as instrumental
> variables. Could you please advise me that whether I need to define IV
> when run "xtivreg2, cluster (firm year)"?
This has nothing to do with the cluster() option (which you can see if you leave it out). xtivreg2 estimates IV models. A special case of that is standard fixed-effects models, in which all RHS variables serve as their own instruments (as they do in OLS). If you're using xtivreg2 in this context, it will automatically list them as instruments, but that is just semantic.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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