Perhaps I should ignore this question in the same way you have ignored
the advice in the Statalist FAQ on how to write a well-formed question
(in particular, you give no indication what command you used or what
error message you got, much less show us the output), but you should
certainly read:
-help xtreg- -help xtdata- and -help areg-
for starters. Note also that you may want to cluster on id, assuming
your fixed effects are individual id and year effects, to allow for
arbitrary serial correlation within panel, and -cluster- implies
-robust-. But see the various FAQs on the subject, and such advice as
appears in the relevant help files, e.g.
Note: Exercise caution when using the cluster() option with areg.
The effective number of degrees of freedom for the robust variance
estimator is (n_g - 1), where n_g is the number of clusters. Thus
the number of levels of the absorb() variable should not exceed the
number of clusters.
On 2/28/06, Yasmine Kent <yasmine_kent@yahoo.co.uk> wrote:
> Hi,
>
> Apologies if this is a basic question...
>
> I would like to obtain ROBUST standard errors and
> t-statistics in a panel data regression that I am
> running (with 2-way fixed effects). The 'robust'
> command does not appear to work with panel data, it
> gives an error message. Theoretically, I thought that
> it should be possible to get these. Is there another
> command I should use instead? (I am using Stata 8).
>
> Thank you!
> Yasmine
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
Daniel Simon