Alejandro,
Version 10 certainly does permit using cluster with the vce option
after either xtreg, fe or xtreg, re.
For example, on another post I made a day or so ago (more complicated
than necessary but is all I have handy at the moment):
. xi: xtreg slope15y i.moodyrating|Mslope15y swap15slope, fe
vce(cluster mktconum)
i.moodyrating _Imoodyrati_0-19 (naturally coded; _Imoodyrati_0 omitted)
i.mood~gMs~15y _ImooXMslo_# (coded as above)
note: robust covariance is not full rank; F test numerator degrees of
freedom is 20 instead of
> 21
Fixed-effects (within) regression Number of obs = 166351
Group variable: mktconum Number of groups = 190
R-sq: within = 0.2843 Obs per group: min = 9
between = 0.4482 avg = 875.5
overall = 0.3139 max = 1493
F(20,189) = 340.39
corr(u_i, Xb) = 0.1384 Prob > F = 0.0000
(Std. Err. adjusted for 190 clusters in mktconum)
Robust
slope15y Coef. Std. Err. t P>t [95% Conf. Interval]
Mslope15y .8421038 .1025912 8.21 0.000 .639733 1.044475
_ImooXMslo_1 -.2351284 .0403382 -5.83 0.000 -.3146995 -.1555574
_ImooXMslo_2 -.6510598 .1111743 -5.86 0.000 -.8703616 -.431758
_ImooXMslo_3 -.5825345 .1362484 -4.28 0.000 -.8512975 -.3137716
_ImooXMslo_4 -.8162742 .1011095 -8.07 0.000 -1.015722 -.6168261
_ImooXMslo_5 -.8239694 .102474 -8.04 0.000 -1.026109 -.6218296
_ImooXMslo_6 -.8419379 .1045057 -8.06 0.000 -1.048085 -.6357904
_ImooXMslo_7 -.8438201 .1048161 -8.05 0.000 -1.05058 -.6370603
_ImooXMslo_8 -.8060444 .105 -7.68 0.000 -1.013167 -.5989219
_ImooXMslo_9 -.8368847 .1060561 -7.89 0.000 -1.04609 -.627679
_ImooXMsl~10 -.8185907 .1042997 -7.85 0.000 -1.024332 -.6128495
_ImooXMsl~11 -.7526583 .1029494 -7.31 0.000 -.9557356 -.5495809
_ImooXMsl~12 -.8299127 .1012824 -8.19 0.000 -1.029702 -.6301234
_ImooXMsl~13 -.7959784 .1073662 -7.41 0.000 -1.007768 -.5841882
_ImooXMsl~14 -.854819 .102767 -8.32 0.000 -1.057537 -.6521013
_ImooXMsl~15 -.7806554 .1084974 -7.20 0.000 -.9946768 -.5666341
_ImooXMsl~16 -.9274818 .1939613 -4.78 0.000 -1.310089 -.5448747
_ImooXMsl~17 -.842949 .1033795 -8.15 0.000 -1.046875 -.6390232
_ImooXMsl~18 .0061745 .1018397 0.06 0.952 -.1947139 .2070629
_ImooXMsl~19 -.6648868 .1018489 -6.53 0.000 -.8657935 -.4639801
swap15slope -.1419077 .030575 -4.64 0.000 -.2022198 -.0815956
_cons .0048621 .0003458 14.06 0.000 .0041799 .0055442
sigma_u .00455044
sigma_e .01011707
rho .16826102 (fraction of variance due to u_i)
On 10/24/07, feldman <[email protected]> wrote:
> 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" <[email protected]>
> To: [email protected]
> 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" <[email protected]>
> > > To: <[email protected]>
> > > 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: [email protected]
> > >>> [mailto:[email protected]] On
> > Behalf >>> Of Maarten buis
> > >>> Sent: 21 October 2007 10:49
> > >>> To: [email protected]
> > >>> Subject: Re: st: Why option "robust" and "cluster"
> > >>> doesn't work?
> > >>> --- Ngoc Anh Vo Thi <[email protected]> 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: [email protected]
> > >> 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/
> > >>> -----------------------------------------
> > >>>
> > >>>
> > >>>
> > >>>
> > >>
> > __________________________________________________________
> > >> >>> _ Want ideas for reducing your carbon
> > footprint? Visit >>> Yahoo! For Good
> > >>>
> > http://uk.promotions.yahoo.com/forgood/environment.html
> > >>> * * For searches and help try: >>> *
> > http://www.stata.com/support/faqs/res/findit.html >>> *
> > http://www.stata.com/support/statalist/faq >>> *
> > http://www.ats.ucla.edu/stat/stata/ >>>
> > >>>
> > >> *
> > >> * For searches and help try:
> > >> * http://www.stata.com/support/faqs/res/findit.html
> > >> * http://www.stata.com/support/statalist/faq
> > >> * http://www.ats.ucla.edu/stat/stata/
> > >>
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/support/faqs/res/findit.html
> > > * http://www.stata.com/support/statalist/faq
> > > * http://www.ats.ucla.edu/stat/stata/
> > >
> > >
> >
> > --
> > 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
> > [email protected]
> > http://mail.med.upenn.edu/~epw/
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Thomas Jacobs
*
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