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Re: st: xtreg, re with cluster option
As a solution, you can implement FGLS as
OLS on the transformed random effect model,
to take advantage of the -regress- options
in Stata 8.
I have a do file doing that for *balanced*
panel data. If you are interested, just write me
off-list and I will be happy to send it to you.
Elena Giarda <email@example.com>:
> Dear Statalisters,
> I have to run a panel data regression with random effects of individual
> wages on a set of explicative variables which include a macro variable (the
> unemployment rate).
> Note that I use Stata8.
> I'm facing the problem of the different level of aggregation of individual
> wages and aggregate unemployment rate. With a pooled regression I'm aware
> that I can use the "cluster" option: e.g. cluster(year). Unfortunately this
> option is not availble for xtreg in Stata8.
> Has anyone ever faced this problem? Do you have any suggestions on how to
> Many thanks!
> Elena Giarda
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Giovanni S.F. Bruno
Istituto di Economia Politica, UniversitÓ Bocconi
Via U. Gobbi, 5, 20136 Milano
tel. + 02 5836 5411
fax. + 02 5836 5438
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