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st: xtivreg2 clustering SE's


From   Justin Smith <smithjd5@univmail.cis.mcmaster.ca>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtivreg2 clustering SE's
Date   Mon, 07 Aug 2006 12:13:35 -0400

Hi there:

I'm hoping someone will be able to help me on this issue.  I'm running
a regression with xtivreg2, and I would like the standard errors to be
both robust and clustered.  When I run this, I get the following error:

"cluster option not supported if a panel spans more than one cluster"

I'm confused as to why.  The reason I'm confused is that when I run
"areg" (without instrumenting), it is able to compute the robust
clustered errors even though the clusters span more than one panel.
 I'm very confused.

Any help is appreciated,

Justin Smith
PhD Candidate
Department of Economics
McMaster University
Phone: (905) 962-0353
E-mail: smithjd5@mcmaster.ca 
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