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Re: st: clustering and fixed effects poisson


From   Rafal Raciborski <rraciborski@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: clustering and fixed effects poisson
Date   Mon, 12 Jul 2010 08:07:55 -0500

Tatyana Deryugina <tatyanad@mit.edu> said:

> I tried using the vce(cluster clustvar) option with xtpoisson in Stata
> 11.1 (which I do have), but Stata tells me it isn't available (it's
> also not in the documentation).

Tatyana should use -vce(robust)- rather than -vce(cluster clustvar)-.  -xtpoisson, fe- with robust standard errors implements the formula presented in Wooldridge (1999).  The formula is a cluster-robust estimate of the VCE in which the id variable specifies the clusters. The id variable is determined by the current settings of -xtset- which in Tatyana's case is a country variable.

-- Rafal
rraciborski@stata.com

References

Wooldridge, J. M. 1999. Distribution-free estimation of some nonlinear panel data models. Journal of Econometrics 90: 77-97.



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