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st: xtabond2 and cluster


From   Erasmo Giambona <e.giambona@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: xtabond2 and cluster
Date   Tue, 17 Nov 2009 13:18:11 +0100

Dear Statalist,

I am estimating a regression model using system GMM through xtabond2.
I have an unbalanced panel dataset of about 50,000 firm-year
observations. A simplified version of my model has the following form:
y = a +bx1 + cx2 +e. I treat both x1 and x2 as endogenous using their
2nd and 3rd lags as instruments. I do not inlcude l1.y as a regressor.

To my surprise, I noticed that the standard error are exactly the same
whether or not I cluster them at the firm level. Does anybody have any
idea of why this could be the case?

Thanks,

Erasmo
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