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Re: st: Cluster option in Regress command


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Cluster option in Regress command
Date   Mon, 9 Jun 2003 20:41:16 -0500

----- Original Message ----- 
From: "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Monday, June 09, 2003 5:46 PM
Subject: Re: st: Cluster option in Regress command


> Actually, either approach is valid (depending on the assumptions one
> makes), and in principle can even be used at the same time.  See, e.g.,
> Arellano in the Oxford Bulletin of Economics and Statistics, 49:4 (1987),
> who proposed using the cluster-robust approach to the fixed effects
> estimator.  A more recent source is Wooldridge, Econometric Analysis of
> Cross Section and Panel Data (2002), p. 193.
>
> Curiously, as of version 7, Stata's xtreg didn't have a cluster option.  I
> don't know if this is true in version 8.
>
> --Mark
>

-xtreg- in version 8 does not have cluster option.  However, -areg- does
allow fixed effects and clustered observations.

Scott


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