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Re: st: xtivreg and vce cluster problem
From
Richard Herron <[email protected]>
To
[email protected]
Subject
Re: st: xtivreg and vce cluster problem
Date
Wed, 9 May 2012 10:24:15 -0400
@Robert, I don't think that -xtivreg- permits FE models with robust or
clustered SEs. From the help file:
FE_options description
---------------------------------------------------------------------------------------------
Model
fe use fixed-effects estimator
regress treat covariates as exogenous and ignore
instrumental variables
SE
vce(vcetype) vcetype may be conventional, bootstrap, or jackknife
I suggest checking out -xtivreg2- from SSC, which provides these SE options.
Richard Herron
On Wed, May 9, 2012 at 6:33 AM, Robert Duval <[email protected]> wrote:
> Dear Friends,
>
> I am trying to estimate an IV Fixed Effects model with Clustered
> S.E.愀 with the Official command xtivreg yet I keep getting an error.
> Consider the code below
>
> webuse abdata
>
> *This works fine
> xtivreg n (w= k) ys, fe vce(conventional)
>
> *These fail
> xtivreg n (w= k) ys, fe vce(cluster id)
> xtivreg n (w= k) ys, fe vce(robust)
>
> giving me error
> vcetype 'cluster' not allowed
> vcetype 'robust' not allowed
>
> respectively.
>
> According to the Manual xtivreg, fe should support all the standard
> vce types, so I fail to understand what's going on here
> Is this a bug?
>
> I am using Stata MP 11.2 updated as of today.
>
> Many thanks in advance for your ideas
> robert
>
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