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st: RE: Clustered errors with fixed effects in Stata 8


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Clustered errors with fixed effects in Stata 8
Date   Thu, 6 Mar 2008 07:22:13 -0000

Steve,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Steve Shewfelt
> Sent: 05 March 2008 22:36
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Clustered errors with fixed effects in Stata 8
> 
> Hello,
> 
> I'm working with a cross-sectional dataset in which observations
> (households) are clustered at the village level. I have OLS 
> and Logit models. I would like to use fixed effects and 
> robust clustered standard errors, but the options available 
> seem to allow for either of the two but not both (robust and 
> cluster are available with regress and logit, but not with 
> xtreg or xtlogit).
> 
> Also, I am doing some IV models (ivreg and ivprob). The 
> former allows for robust clustered errors, but the latter doesn't.
> 
> I'm using Stata 8. Does anyone know of an ado file I can 
> download that makes it possible to do what I want to do?

With respect to your FE models, -xtivreg2- runs under Stata 8 (you also
need to install -ivreg28-, the Stata-8-compatible version of -ivreg2-)
and will do OLS as well as iV models with cluster-robust SEs.  -ivreg28-
is probably also worth installing - it has many more options and
diagnostics than -ivreg-.

-ivprob- is a user written program.  Probably your only option is to
hack the code so that it accepts a -cluster- option, but a quick look at
the innards suggests to me that modifying the section that calculations
the SEs would be a non-trivial exercise.

--Mark (xtivreg2 author and ivreg2 co-author)

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
> 
> Thank you in advance,
> 
> Steve Shewfelt
> PhD candidate in Political Science
> Yale University
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