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st: AW: Robust vs Cluster errors using xtreg fe in Stata10


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: Robust vs Cluster errors using xtreg fe in Stata10
Date   Tue, 9 Jun 2009 11:52:14 +0200

<> 

In this example from http://www.stata-press.com/books/mus.html,
 the SEs coincide btw -robust- and -cluster- as well...


*************
use http://www.stata-press.com/data/mus/mus08psidextract.dta,/* 
 */  clear

qui{
	xtreg /* 
	 */ lwage exp exp2 wks ed, /* 
	 */ fe 
	est store FE_default
	
	xtreg/* 
	 */  lwage exp exp2 wks ed, /* 
	 */ fe vce(cluster id)
	est store FE_cluster
	
	xtreg /* 
	 */ lwage exp exp2 wks ed, /* 
	 */ fe vce(robust)
	 est store FE_robust
}

estimates table FE_default  /* 
 */ FE_cluster FE_robust, se  
*************



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Carolina Lennon
Gesendet: Dienstag, 9. Juni 2009 09:55
An: statalist@hsphsun2.harvard.edu
Betreff: st: Robust vs Cluster errors using xtreg fe in Stata10

 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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