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Re: st: xtreg, re with cluster option


From   Giovanni Bruno <giovanni.bruno@uni-bocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtreg, re with cluster option
Date   Tue, 25 Jul 2006 17:06:34 +0200

Elena

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.

Giovanni

Elena Giarda <elena.giarda@prometeia.it>:


> 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 
> proceed?
> 
> Many thanks!
> Elena Giarda
> 
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> 


-- 
Giovanni S.F. Bruno
http://ideas.repec.org/e/pbr136.html
Istituto di Economia Politica, UniversitÓ Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
*
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