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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   Wed, 24 Oct 2007 07:41:18 -0700

But if you use xtreg, fe the vce() option doesn´t allow
cluster so that still doesn´t answer why cluster after
xtreg, fe was allowed in Stata 9 but not in Stata 10.

Alejandro

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