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


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: AW: Robust vs Cluster errors using xtreg fe in Stata10
Date   Tue, 9 Jun 2009 12:09:11 +0200

<> 

Ok, cheers, that explains the observation that Stata 9 gave different
results...



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Austin Nichols
Gesendet: Dienstag, 9. Juni 2009 12:06
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: AW: Robust vs Cluster errors using xtreg fe in Stata10

Carolina Lennon and Martin--
-help whatsnew- and search for xtreg to see why (stock and watson ref)

On Tue, Jun 9, 2009 at 5:52 AM, Martin Weiss<martin.weiss1@gmx.de> wrote:
>
> <>
>
> 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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