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st: Xtreg, fe robust cluster() and Xtregar


From   May Ster <mayfrank@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Xtreg, fe robust cluster() and Xtregar
Date   Fri, 15 Apr 2011 17:31:52 +0100

Please help...

Dear all,

I wonder which is better between Xtregar, fe robust cluster() and
Xtregar under FE model if one finds autocorrelation or even assumes
they exist.

I tried running regressions and found substantive differences provided
by these two estimators. I thought if autocorrelation exists, it
shouldn't change the coefficient that largely i.e. only the standard
errors are effects?

And, since -Xtregar also works under the FE , it then should provide
close if not similar estimates to the -Xtreg, fe robust cluster()?
I don't understand why the estimates provided are different largely
and there are even the changes in signs.

I will be very grateful if anyone could help with this. Thank you very
much in advance,

May
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