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From | Christopher Baum <kit.baum@bc.edu> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | re: st: Why do i get different results with year robust clusters vs year dummies |
Date | Mon, 2 May 2011 23:50:26 -0400 |
<> I am using areg and when I specify model as areg export political tension ( list of control variables), robust cluster(year) absorb(country) I find my coefficient to be significant. However, when I specifiy it with year dummies as areg export political tension (list of control variables) y1990 y1991 y1992......., absorb(country), my coefficient turns insignificant. Can someone help me why I see this inconsistency and let me know if one model is better than the other? I mean, what I observe seems counterintuitive because the results should be the same given that I am controlling for the year effect in both specifications. No, you're not. It is a common misconception that estimating a cluster-robust VCE 'controls for year effects'. It does not do anything of the sort. It gives you a different estimate of the VCE, but it does not alter the coefficients' point estimates. Therefore a model with year dummies is not the same as a model excluding them, and if the data say they are jointly significant, you should include them. Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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/