But if you use xtreg, fe the vce() option doesn�t allow
cluster so that still doesn�t answer why cluster after
xtreg, fe was allowed in Stata 9 but not in Stata 10.
Alejandro
----- Original Message Follows -----
From: "E. Paul Wileyto" <[email protected]>
To: [email protected]
Subject: Re: st: Why option "robust" and "cluster" doesn't
work?
Date: Tue, 23 Oct 2007 13:40:51 -0400
> 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" <[email protected]>
> > To: <[email protected]>
> > 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: [email protected]
> >>> [mailto:[email protected]] On
> Behalf >>> Of Maarten buis
> >>> Sent: 21 October 2007 10:49
> >>> To: [email protected]
> >>> Subject: Re: st: Why option "robust" and "cluster"
> >>> doesn't work?
> >>> --- Ngoc Anh Vo Thi <[email protected]> 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: [email protected]
> >> 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/
> >>> -----------------------------------------
> >>>
> >>>
> >>>
> >>>
> >>
> __________________________________________________________
> >> >>> _ Want ideas for reducing your carbon
> footprint? Visit >>> Yahoo! For Good
> >>>
> http://uk.promotions.yahoo.com/forgood/environment.html
> >>> * * 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/ >>>
> >>>
> >> *
> >> * 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/
> >>
> > *
> > * 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/
> >
> >
>
> --
> 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
> [email protected]
> http://mail.med.upenn.edu/~epw/
>
> *
> * 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/
*
* 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/
