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Re: st: cluster robust SE options in 2SLS


From   Joshua A Shindell <shindell@uwm.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: cluster robust SE options in 2SLS
Date   Mon, 23 Mar 2009 08:31:47 -0500 (CDT)

The cluster option is used to correct for serial correlation within each cluster unit over time.  The cluster option may only be necessary for panel data, and should give a more conservative of an estimate of your standard errors.  If you're using cross-sectional data, robust standard errors should be fine.

Josh  


----- Original Message -----
From: "Shang E. Ha" <shang.ha@yale.edu>
To: statalist@hsphsun2.harvard.edu
Sent: Monday, March 23, 2009 9:24:05 AM GMT -05:00 US/Canada Eastern
Subject: st: cluster robust SE options in 2SLS

Hi,

Can anyone look up the difference between these two standard error options; for
some reason they are producing slightly different standard errors.

  ivregress 2sls Y (Z = X), vce(cluster unit)

  ivreg Y (Z = X), robust cluster(unit)

Thanks!

Best,
Shang E. Ha
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