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Re: st: appropriateness of cluster option with xtreg, fe


From   "philippe van kerm" <philippe.vankerm@ceps.lu>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: appropriateness of cluster option with xtreg, fe
Date   Mon, 25 Sep 2006 12:31:39 +0200

>
>Re: st: appropriateness of cluster option with xtreg, fe
>From 	  "Johannes Schmieder" <jfs2106@columbia.edu>
>To 	  statalist@hsphsun2.harvard.edu
>Subject 	  Re: st: appropriateness of cluster option with xtreg,
fe
>Date 	  Sun, 24 Sep 2006 20:20:16 -0400


The technical note on page 293 of the panel data manual [XT] discusses
briefly the use of "robust" standard errors with panel data models (FE,
RE, ...). The issue is about what you can assume regarding your
idiosyncractic error terms "e_it". If there is heteroskedasticity/serial
correlation in e_it then you need to take this into account by
specifying the "cluster" option. The technical note gives a couple of
references. 

Philippe



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