Re: st: Why option "robust" and "cluster" doesn't work?

["E. Paul Wileyto" <epw@mail.med.upenn.edu>]

Try using the more general vce option.  I got surprised by this earlier 
as well, and found that while cluster() still works for many of the 
routines, vce will often work when cluster will not.

I can see why the Stata Gods have deemed this good.  It subsumes 
clustering, bootstrapping, jackknife, and all manner of methods under 
one option.

Paul

feldman wrote:

> But why was the cluster option available in Stata 9 and is
> not in Stata 10?
>
> ----- Original Message Follows -----
> From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> To: <statalist@hsphsun2.harvard.edu>
> Subject: RE: st: Why option "robust" and "cluster" doesn't
> work?
> Date: Sun, 21 Oct 2007 21:10:39 +0100
>
>   
> > Ngoc Anh Vo Thi,
> >
> >     
> > > -----Original Message-----
> > > From: owner-statalist@hsphsun2.harvard.edu 
> > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf
> > > Of  Maarten buis
> > > Sent: 21 October 2007 10:49
> > > To: statalist@hsphsun2.harvard.edu
> > > Subject: Re: st: Why option "robust" and "cluster"
> > > doesn't work? 
> > > --- Ngoc Anh Vo Thi <vtnanh@yahoo.com> wrote:
> > >       
> > > > I'm estimating a panel data model with xtreg, fe using
> > > >         
> > > Stata 8.2, and 
> > >       
> > > > want to obtain robust standard errors and test stat. 
> > > >         
> > > However, when I 
> > >       
> > > > add the "robust"/ "cluster" option after fe, it
> > > >         
> > > doesn't  work. It was 
> > >       
> > > > said "Option robust not allowed". I'm wondering
> > > >         
> > > whether  there's a bug 
> > >       
> > > > with my version of Stata.
> > > >         
> > > There isn't a bug in your version of Stata, that option
> > > is  not allowed. If you type -help xtreg- you will find
> > > a list of  legal options, and -robust- isn't in that
> > >       
> > list, nor is it in Stata 10.
> >
> > It's available in Stata 9, but that doesn't help someone
> > who has only Stata 8.2 available.
> >
> > -xtivreg2- will do you what you want, though - it requires
> > only Stata 8.2.  You'll also need to install -ivreg28-,
> > which, as the "8" suggests, also runs in Stata 8.2.  Just
> > -findit xtivreg2- and -findit ivreg28- from within Stata,
> > and follow the links to install.
> >
> > But - note that Stock and Watson (2006), in an NBER
> > technical working paper
> >
> > http://www.nber.org/papers/t0323
> >
> > show that the heteroskedasticity-robust covariance
> > estimator is not consistent with fixed effects.  The
> > cluster-robust estimator is OK, though.
> >
> > HTH.
> >
> > Cheers,
> > Mark
> >
> > Prof. Mark Schaffer
> > Director, CERT
> > Department of Economics
> > School of Management & Languages
> > Heriot-Watt University, Edinburgh EH14 4AS
> > tel +44-131-451-3494 / fax +44-131-451-3296
> > email: m.e.schaffer@hw.ac.uk
> > web: http://www.sml.hw.ac.uk/ecomes
> >  
> >     
> > > Hope this helps,
> > > Maarten
> > >
> > > -----------------------------------------
> > > Maarten L. Buis
> > > Department of Social Research Methodology Vrije
> > > Universiteit  Amsterdam Boelelaan 1081
> > > 1081 HV Amsterdam
> > > The Netherlands
> > >
> > > visiting address:
> > > Buitenveldertselaan 3 (Metropolitan), room Z434
> > >
> > > +31 20 5986715
> > >
> > > http://home.fsw.vu.nl/m.buis/
> > > -----------------------------------------
> > >
> > >
> > >      
> > >       
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--
E. Paul Wileyto, Ph.D.
Assistant Professor of Biostatistics
Tobacco Use Research Center
School of Medicine, U. of Pennsylvania
3535 Market Street, Suite 4100
Philadelphia, PA  19104-3309

215-746-7147
Fax: 215-746-7140
epw@mail.med.upenn.edu
http://mail.med.upenn.edu/~epw/ 
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