st: RE: xtivreg2 clustering SE's

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Justin,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Justin Smith
> Sent: Monday, August 07, 2006 5:14 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: xtivreg2 clustering SE's
> 
> 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.

Try the same using -xtreg- intead of -areg-.  I am pretty sure that when
the Stata people identified this issue, they updated -xtreg- to provide
a message and some options to deal with it (e.g., -nonest-).  -xtreg-
will probably say something similar to -xtivreg2- ... which means it
isn't an -xtivreg2- question any more. :)

Cheers,
Mark


>  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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