st: heteroskedasticity-robust standard errors using "xtivreg2, fe"

[Nina Neubecker <nina.neubecker@googlemail.com>]

Dear Stata listers,

I am currently estimating a fixed effects model on cluster data (38
countries reporting data on 4 occupations). Since the number of
clusters is below the often cited critical value of 50, I would like
to estimate "simple" heteroskedasticity-robust standard errors (and
not cluster-robust st.e.). As this is no longer possible with the
official STATA command "xtreg, fe" in STATA 11, I searched for
alternative commands and learned about the module "xtivreg2". As it
says in the help-file to this module, "xtivreg2" can also be used to
estimate a simple fixed effects model without endogenous regressors.
(In a later step I will also treat one of my regressors as
endogenous.)
I am now wondering whether "xtivreg2, fe" with the options "small" and
"robust" for a simple fixed effects model reports the bias-corrected
standard errors proposed by Stock & Watson (2008) to tackle the
problem that the estimated standard errors à la White (1980) are
inconsistent when applied after mean-differenced estimation if the
number of observations per cluster is small (see Cameron & Miller,
2010, "Robust Inference with Clustered Data")?

Thank you very much in advance for your help!

Nina Neubecker

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