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st: Re: XTIVER (sic) with cluster standard errors


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: XTIVER (sic) with cluster standard errors
Date   Sat, 11 Aug 2007 16:24:26 -0400

Eva said:

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.



If you are interested in the FE or FD forms of this estimator, you may calculate cluster-robust standard errors with xtivreg2 (ssc describe xtivreg2).


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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