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Re: st: Fwd: Panel or pooled data


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fwd: Panel or pooled data
Date   Wed, 23 May 2007 14:48:50 -0400

Glenn--
Try
xtreg ......, i(id) fe cluster(id)
ssc inst ivreg2
ssc inst xtivreg2
xtivreg2 ......, i(id) fe cluster(id)

On 5/3/07, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
First, Stock and Watson have shown that the usual heteroskedastic-robust
SEs for the fixed effects estimator are not consistent, but the
cluster-robust ones are.  See
http://www.nber.org/papers/T0323
On 5/22/07, Glenn Hoetker <ghoetker@uiuc.edu> wrote:
I have unbalanced panel data and thus need to control for inflated
standard errors.  Three means of doing so suggest themselves:

xtreg ......, i(id) fe
xtreg ......, i(id) re
xtreg ......., cluster(id)

The discussion under [R] regress demonstrates all three and indicates
that they are alternative means (unless the assumptions of random
effects are rejected by a Hausman test, which they are in my case).
However, it does not discuss what would lead one to prefer one over
the other--an insight I've not found anywhere else either.
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