Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: cluster robust SE options in 2SLS


From   "Shang E. Ha" <[email protected]>
To   [email protected]
Subject   Re: st: cluster robust SE options in 2SLS
Date   Mon, 23 Mar 2009 09:44:53 -0400

Thank you. But my question was why these two commands produce different standard errors. In Stata 10, "ivregress 2sls Y (Z=X), vce(cluster unit)" simply replaces
"ivreg Y (Z=X), robust cluster(unit)", which used to be standard in Stata 9.

Best,
Shang

Quoting Joshua A Shindell <[email protected]>:

The cluster option is used to correct for serial correlation within each cluster unit over time. The cluster option may only be necessary for panel data, and should give a more conservative of an estimate of your standard errors. If you're using cross-sectional data, robust standard errors should be fine.

Josh


----- Original Message -----
From: "Shang E. Ha" <[email protected]>
To: [email protected]
Sent: Monday, March 23, 2009 9:24:05 AM GMT -05:00 US/Canada Eastern
Subject: st: cluster robust SE options in 2SLS

Hi,

Can anyone look up the difference between these two standard error options; for
some reason they are producing slightly different standard errors.

 ivregress 2sls Y (Z = X), vce(cluster unit)

 ivreg Y (Z = X), robust cluster(unit)

Thanks!

Best,
Shang E. Ha
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index