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st: XTIVER with cluster standards errors

Subject   st: XTIVER with cluster standards errors
Date   11 Aug 2007 18:29:38 +0100

Dear all,

Regarding a question raised by Yu-Chu Shen :"I would like to know if there 
is a way to generate robust standard error due to clustering in XTIVREG. I 
know that XTIVREG will generate the correct standard error assuming that 
errors are correlated within group. But the error terms in my case are also 
not independent across a broader category (example, group is county but 
standard errors are also correlated within state level)." I am facing 
completely the same problem. The option of AREG can not work with 
instrumental variables whereas XTIVER does not provide cluster option thus 
my obtained standards errors are very small. Could you please provide me 
with some help regarding this issue.

Thanks you very much for your help


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