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


From   "E. Paul Wileyto" <epw@mail.med.upenn.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Why option "robust" and "cluster" doesn't work?
Date   Tue, 23 Oct 2007 13:40:51 -0400

Try using the more general vce option. I got surprised by this earlier as well, and found that while cluster() still works for many of the routines, vce will often work when cluster will not.

I can see why the Stata Gods have deemed this good. It subsumes clustering, bootstrapping, jackknife, and all manner of methods under one option.

Paul

feldman wrote:

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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--
E. Paul Wileyto, Ph.D.
Assistant Professor of Biostatistics
Tobacco Use Research Center
School of Medicine, U. of Pennsylvania
3535 Market Street, Suite 4100
Philadelphia, PA 19104-3309

215-746-7147
Fax: 215-746-7140
epw@mail.med.upenn.edu
http://mail.med.upenn.edu/~epw/
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