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st: R: st: Re: st: "cluster(firm)” vs “vce(cluster firm)”


From   "Francesco Mazzi" <francesco.mazzi@unifi.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: R: st: Re: st: "cluster(firm)” vs “vce(cluster firm)”
Date   Mon, 26 Nov 2012 23:51:53 +0000

I agree with Austin.
You should consider using cluster2.
try googling 'petersen cluster2'
Good luck with your research.


Inviato dal mio smartphone BlackBerry® 
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-----Original Message-----
From: Austin Nichols <austinnichols@gmail.com>
Sender: owner-statalist@hsphsun2.harvard.edu
Date: Mon, 26 Nov 2012 23:01:13 
To: <statalist@hsphsun2.harvard.edu>
Reply-To: statalist@hsphsun2.harvard.edu
Subject: st: Re: st: "cluster(firm)” vs “vce(cluster firm)”

Julia Ke <julia.ke@gmx.net>:
There is no difference--you also get the same results from -robust-
options using -xtreg-.
. xtset country
. xtreg y x1 x2 x3 x4 x5 i.year, fe r
See also two-dimensional clustering and other options in SSC package -ivreg2-:
http://fmwww.bc.edu/repec/bocode/i/ivreg2.html

On Mon, Nov 26, 2012 at 10:48 PM, Julia Ke <julia.ke@gmx.net> wrote:
> Hi Statalist,
>
> I am working on a panel data analysis whereby I use a country and time fixed effect and cluster by firm (panel).
> My question concerns the clustering. The basic model I am using is of the form
>
> Xi: regress y x1 x2 x3 x4 x5 i.country i.year
>
> For the clustering, I am trying to understand the difference between adding “,cluster(firm)” and “vce(cluster firm)”.
>
> Is there anything else I should pay special attention to?
>
> Many thanks!
>
> Julia

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