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st: Using the cluster command or GLS random effects?


From   samcn@lineone.net
To   statalist@hsphsun2.harvard.edu
Subject   st: Using the cluster command or GLS random effects?
Date   Thu, 17 Jul 2003 13:16:12 +0100

Dear all,

I am using a repeated cross-section of pupil-level data to regress exam
attainment on various characteristics. Since pupils are clustered in particular
schools, I need to correct the standard errors for clustering at school-level.

I could adopt one of the following approaches:

regress Y X, cluster(school)
xtreg Y X, re (i=school)

So the first approach corrects standard errors by using the cluster command.
The second approach uses a random effects GLS approach.

I thought that the two approaches do the same thing and should give the
same results. However, I find that the standard errors are alot smaller
using the second approach.

Does anyone know how the two approaches differ from one another?

Thanks,

Sandra


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