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From | "Jing Zhou" <jing.zhou@rmit.edu.au> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | st: RE: difference between robust and cluster option |
Date | Fri, 16 Jul 2010 15:08:32 +1000 |
thank you for your advisement. I tried cluster and robust in FE model individually, but the results are exactly the same. if "robust" only control for heteroskedasiticity while "cluster" for heteroskedasticity and serial correlation, why there is no difference between the two regressions? >>> "Ma, Guang" <guang.ma@utdallas.edu> 16/07/2010 2:54 pm >>> Anyone is welcomed to correct me if I made any mistake. I think cluster can take good care of both heteroskedasticity and serial correlation, as long as you cluster in a panel way. "robust" is just heteroskedasticity consistent since it uses 1/(1-h)^2 as weights. Check this paper: Petersen, M. A. 2009. "Estimating standard errors in finance panel data sets: Comparing approaches." Review of Financial Studies 22 (1): 435-480. Guang Ma Accounting Department The University of Texas at Dallas School of Management, SM41 Richardson, TX 75080 -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jing Zhou Sent: Thursday, July 15, 2010 8:34 PM To: statalist@hsphsun2.harvard.edu Subject: st: difference between robust and cluster option To control for the heteroskedasticity and serial correlation in FE and RE models, do I need to add only "robust" or both "robust"and "cluster" option in the corresponding command? And after this remedy, is it unnecessary to worry about the two problems? * * 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/