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Re: st: cluster robust SE options in 2SLS


From   "Shang E. Ha" <shang.ha@yale.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: cluster robust SE options in 2SLS
Date   Mon, 23 Mar 2009 09:44:53 -0400

Thank you. But my question was why these two commands produce different standard errors. In Stata 10, "ivregress 2sls Y (Z=X), vce(cluster unit)" simply replaces
"ivreg Y (Z=X), robust cluster(unit)", which used to be standard in Stata 9.

Best,
Shang

Quoting Joshua A Shindell <shindell@uwm.edu>:

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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