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st: Robust vs Cluster errors using xtreg fe in Stata10


From   Carolina Lennon <carolina.lennon@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Robust vs Cluster errors using xtreg fe in Stata10
Date   Tue, 9 Jun 2009 09:55:05 +0200

 Dear all:

I am working with panel data (countries years) and I was running fixed
effect estimations using alternatively the robust option and cluster
option in Stata 10. To my surprise I have obtained the same standard
errors in both cases. So the question is:  is this possible? In theory
they must be different. Additionally,  I remember doing the same
exercise (though using other data set) with stata 9 and at that
moment, the SE for the alternative options were different. Maybe I am
doing something wrong!

In particular I am running the following codes:

xtreg depvar regressors year_dummies , fe   vce(cluster country)
xtreg depvar regressors year_dummies , fe   vce(robust)

where the database was previously defined as the panel:
tsset  country year, yearly

Many Thanks
Carolina

Note: the options "robust" and "cluster(country)" give the same result!

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