Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: two-way cluster-robust covariance matrix estimates


From   "Anat (Manes) Tchetchik" <anatmanes@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: two-way cluster-robust covariance matrix estimates
Date   Fri, 27 Dec 2013 22:30:27 +0200

Dear all,
Please ignore my previous question from yesterday (titled: robust
clustered errors in panel data). I read both "Evaluating one-way and
two-way cluster-robust covariance matrix estimates" ( Baum, Nichols
and Schaffer) & "Clustered Errors in Stata"  (Nichols and Schaffer)
and gained much understanding.
Still I would appreciate if any of you can help me resolve one issue.
I have an unbalanced panel of macroeconomic data on 35 countries over
17 years. I want to run a FE model with clustered errors where the
cluster id=country code.
I tested for time-fixed effects and confirmed their existence.
My question is, does employing (xtivreg2, fe cluster (id year),
equivalent to running one way clustering  (xtreg, fe vce(cluster id))
including years dummies in the regression?
Any hint of what should guide me in choosing one option over the other?
I will really appreciate any advice

Anat Tchetchik, PhD
Department of Business Administration
Guilford Glazer Faculty of Business and Management
Ben-Gurion University of the Negev
P.O.Box: 653
Beer-Sheva, Israel, 84105

E-mail:       anat@som.bgu.ac.il
Phone         972-(0)8-6479735
Fax:           972-(0)8-6472920
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index