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st: reg, cluster()

From   Daniel Lawson <>
Subject   st: reg, cluster()
Date   Tue, 14 Sep 2004 10:41:59 -0500

Dear Statalist members,

I have a question about the ``cluster'' option (common to many commands, but I am invoking it from the simple ``reg'' command).

In a model where every individual i is also a part of a group j, and the dependent variable is determined by characteristics not only of the individual i but also of the group j, it seems like a regression ought to attempt to fit the model

y_i = x_i b + w_j g + e_i + u_j

where x_i are individual characteristics, w_j are group characteristics, e_i is an individual error term, and u_j is a group error term. Can anyone help me contrast an error component model like this (fitted either through f-GLS or ML) with what ``cluster'' does? I have already read William Rogers' article ``Regression standard errors in clustered samples'', but am still unclear.

Thank you very much if anyone has any pointers on this.

Daniel Lawson

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