Re: st: RE: clustering necessary for xtreg, fe i(id)?

["Stas Kolenikov" <skolenik@gmail.com>]

> > But this is incorrect, no?  I should include the cluster(id) syntax if I
> > want to correct for this problem, right?
> Using the cluster option allows for the possibility that the specific
> form of correlation takes a form other than the fixed/random effects
> form.  If so, then the coefficient estimates will be consistent, but the
> usual standard errors will be wrong.  The cluster option will give you
> standard errors that are consistent if the intertemporal correlation
> isn't of the fixed/random effects form.
One other violation of the second moments assumption this should guard
against is panel heteroskedasticity when the individual errors have
different variances for different ID.

--
Stas Kolenikov
http://stas.kolenikov.name

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