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


From   "Julia Ke" <julia.ke@gmx.net>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   st: Re: st: R: st: Re: st: "cluster(firm)” vs “vce(cluster firm)”
Date   Tue, 27 Nov 2012 15:30:15 +0100

Dear Austin and Francesco,

Many thanks for your input.
@ Francesco: I read Petersen's 2009 paper, so gladly I seem to be on the right track. Thanks! 
@ Austin: Thanks for the ivreg2 suggestion. I will definitely take a look at that too. 

Best regards,
Julia

-------- Original-Nachricht --------
> Datum: Mon, 26 Nov 2012 23:51:53 +0000
> Von: "Francesco Mazzi" <francesco.mazzi@unifi.it>
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: R: st: Re: st: "cluster(firm)” vs “vce(cluster firm)”

> I agree with Austin.
> You should consider using cluster2.
> try googling 'petersen cluster2'
> Good luck with your research.
> 
> 
> Inviato dal mio smartphone BlackBerry® 
> www.blackberry.com
> 
> -----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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