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RE: st: Why option "robust" and "cluster" doesn't work?


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Why option "robust" and "cluster" doesn't work?
Date   Sun, 21 Oct 2007 21:10:39 +0100

Ngoc Anh Vo Thi,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Maarten buis
> Sent: 21 October 2007 10:49
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Why option "robust" and "cluster" doesn't work?
> 
> --- Ngoc Anh Vo Thi <vtnanh@yahoo.com> wrote:
> > I'm estimating a panel data model with xtreg, fe using 
> Stata 8.2, and 
> > want to obtain robust standard errors and test stat. 
> However, when I 
> > add the "robust"/ "cluster" option after fe, it doesn't 
> work. It was 
> > said "Option robust not allowed". I'm wondering whether 
> there's a bug 
> > with my version of Stata.
> 
> There isn't a bug in your version of Stata, that option is 
> not allowed. If you type -help xtreg- you will find a list of 
> legal options, and -robust- isn't in that list, nor is it in Stata 10.

It's available in Stata 9, but that doesn't help someone who has only
Stata 8.2 available.

-xtivreg2- will do you what you want, though - it requires only Stata
8.2.  You'll also need to install -ivreg28-, which, as the "8" suggests,
also runs in Stata 8.2.  Just -findit xtivreg2- and -findit ivreg28-
from within Stata, and follow the links to install.

But - note that Stock and Watson (2006), in an NBER technical working
paper

http://www.nber.org/papers/t0323

show that the heteroskedasticity-robust covariance estimator is not
consistent with fixed effects.  The cluster-robust estimator is OK,
though.

HTH.

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
 

> 
> Hope this helps,
> Maarten
> 
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology Vrije Universiteit 
> Amsterdam Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
> 
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
> 
> +31 20 5986715
> 
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
> 
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