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st: [xtreg fe] [regress] clustered standard errors differ
From
"Marder, Andrew" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: [xtreg fe] [regress] clustered standard errors differ
Date
Fri, 29 Mar 2013 22:51:22 -0400
Dear Stata List,
I have found that calculating clustered standard errors using "xtreg fe" does not match those from "regress". Here is some sample code to recreate this discrepancy:
webuse nlswork, clear
keep if _n <= 100
regress ln_w age tenure i.idcode, vce(cluster idcode)
xtset idcode
xtreg ln_w age tenure, fe vce(cluster idcode)
I have written some thoughts on what might be happening here: http://amarder.github.com/2013/03/29/clustered-standard-errors.html
Is this a bug in Stata or am I doing something silly?
Thanks for the help, Andrew
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