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st: correcting for cluster standard error in xtivreg


From   Yu-Chu Shen <yshen@newage3.Stanford.EDU>
To   statalist@hsphsun2.harvard.edu
Subject   st: correcting for cluster standard error in xtivreg
Date   Tue, 25 Oct 2005 10:21:39 -0700 (PDT)

Dear all,
I use STATA 9.0.  I would like to know if there is a way to generate 
robust standard error due to clustering in XTIVREG.  I know 
that XTIVREG will generate the correct standard error assuming that errors 
are correlated within group.  But the error terms in my case are also not 
independent across a broader  category (example, group is county but 
standard errors are also correlated within state level).
Previously, I always used AREG instead of XTREG when I need to estimate a 
fixed-effects model and the clustering is at a higher level.  But AREG 
cannot handle IV estimation.  I used XTIVREG, which does not allow for 
cluster option, so I am getting standard errors that are too small.

Thank you very much for the help.

Yu-Chu

********************************* 
Yu-Chu Shen 
(831) 656-2951 
Faculty Research Fellow
NBER/Health Care
Assistant Professor of Economics 
Naval Postgraduate School 
Monterey, CA 93943 
********************************* 


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