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


From   "feldman" <feldman@primal.ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Why option "robust" and "cluster" doesn't work?
Date   Tue, 23 Oct 2007 10:15:01 -0700

But why was the cluster option available in Stata 9 and is
not in Stata 10?

----- Original Message Follows -----
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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