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st: clustered standard errors with panel & hierarchical data within year


From   Veronika <angela.djupsjobacka@abo.fi>
To   statalist@hsphsun2.harvard.edu
Subject   st: clustered standard errors with panel & hierarchical data within year
Date   Thu, 17 Feb 2011 06:13:37 -0800 (PST)

Hi,

The dataset is on individuals over approx. ten years (unbalanced panel). I
estimate a fixed effects model, but not on individuals, but on individual
specific marital statuses. Example: If a person first is single and then
married, he would have two individual fixed effects. So the number of fixed
effects greatly exceeds the number of individuals. Now I would like to use
clustered standard errors on the individual level. Command:

xtset id_marstat year
xtreg …., fe vce(cluster id)

where id_marstat are the id-numbers for the individual specific marital
statuses, and id the regular id numbers for individuals. This gives me the
error message “insufficient observations”. Furthermore, I also have some
individuals with their siblings present in the data. Clustering on siblings
gives the same error message. Any ideas on why, and how I can get the
standard errors that i want?

Thanks!
Veronika

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