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st: Xtoverid, cluster(clusvar) noisily


From   May Ster <mayfrank@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Xtoverid, cluster(clusvar) noisily
Date   Wed, 6 Apr 2011 05:12:56 +0100

Dear Statalist,

I'm trying to get the correct (robust) S.E. for the Hausman Taylor
using -xtoverid, cluster(clusvar) noisily - option (after using
xthtaylor).
For your information, i have a panel data set which comprises of  N=100 , T=38.

I simply do not know which variable to choose to be clustered ; as in
to put in the cluster(clustvar) option.
I've tried to put different variables just to try it out. As expected
, the results have shown to be different in terms of S.E and the
overidentification test given.

Basically, my question is ...In order to choose a variable to be
clustered, what underlying assumption one has to make ?. Please help.

Best Regards,

may
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