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Re: st: Replicating Stata's xtreg clustered SEs in R


From   daniel klein <klein.daniel.81@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Replicating Stata's xtreg clustered SEs in R
Date   Mon, 12 Mar 2012 10:18:42 +0100

David,

one place to start might be the Stata 12 manual entry [U] 20.20
Obtaining robust variance estimates. All formulars used are described
in there. Page 298 features an example of how to use Stata's -matrix-
command to replicate the SEs produced by -vce(robust)- and links to
another programmer's command (-_robust-) that can be used to replicate
the -vce(cluster clustervar)- SEs.

I cannot comment on how you implement this in R.

Best
Daniel
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