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| From | natasha agarwal <agarwana2@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: xtreg, fe and clustered standard errors at the aggregate level. |
| Date | Fri, 2 Jul 2010 09:35:33 +0100 |
Dear Everyone, I am trying to estimate an augmented production function where am attempting to measure the effect of aggregate variable (FDI in a region) on micro units (productivity of domestic firms). I use an unbalanced panel data which spans for 5 years and estimate the same using a within estimator. I cluster the standard errors at the regional level. However the number of regions in the dataset is 30. However I have been reading that the Stata cluster command developed by Liang and Zeger (1986) takes care of correcting the standard errors using a robust covariance estimator even when the cluster size is 10. In this regard I wanted to know whether the xtreg, fe vce(cluster region) adjusts the standard errors based on the formula developed by Liang and Zeger (1986). Liang and Zeger (1986), Longitudinal Data Analysis Using Generalized Linear Models, Biometrika, Vol. 73, No. 1. (Apr., 1986), pp. 13-22. Many thanks Natasha * * 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/