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st: Re: fixed effects + clustering


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: fixed effects + clustering
Date   Tue, 30 Mar 2004 19:50:02 -0600

How about -areg- ?

Something like:

areg y x ,ab(ns) cluster(mst)

This will estimate a fixed effects model and allow observations to be
independent across clusters but not necessarily within them.  There is a note
caution in the reference manual dealing with cluster option, see [R]A-F, page
85.

Scott

----- Original Message ----- 
From: "Edwin Leuven" <e.leuven@uva.nl>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, March 30, 2004 7:51 AM
Subject: st: fixed effects + clustering


> i want to estimate the following equation
>
> y_{ist} = x_{ist}'b + n_{s} + m_{st} + e_{ist}
>
> with
>
> n_{s}  fixed effects
> m_{st}  random effects (clusters)
> e_{ist}  iid noise
>
> does anyone know how to conveniently estimate this in stata?
>
> xtreg , fe cluster()
>
> would work, but xtreg does not have a cluster option and there are too
> many n_{s}'s to enter them as dummies in a regular regression like
> this
>
> xi: reg y x i.ns, cluster(mst)
>
> thanks, edwin
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