Dear all:
I am working with panel data (countries years) and I was running fixed effect estimations using alternatively the robust option and cluster option in Stata 10. To my surprise I have obtained the same standard errors in both cases. So the question is: is this possible? In theory they must be different. Additionally, I remember doing the same exercise (though using other data set) with stata 9 and at that moment, the SE for the alternative options were different. Maybe I am doing something wrong! In particular I am running the following codes: xtreg depvar regressors year_dummies , fe vce(cluster country) xtreg depvar regressors year_dummies , fe vce(robust) where the database was previously defined as the panel: tsset country year, yearly Many Thanks Carolina Note: the options "robust" and "cluster(country)" give the same result! * * 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/ |
<> In this example from http://www.stata-press.com/books/mus.html, the SEs coincide btw -robust- and -cluster- as well... ************* use http://www.stata-press.com/data/mus/mus08psidextract.dta,/* */ clear qui{ xtreg /* */ lwage exp exp2 wks ed, /* */ fe est store FE_default xtreg/* */ lwage exp exp2 wks ed, /* */ fe vce(cluster id) est store FE_cluster xtreg /* */ lwage exp exp2 wks ed, /* */ fe vce(robust) est store FE_robust } estimates table FE_default /* */ FE_cluster FE_robust, se ************* HTH Martin -----Ursprüngliche Nachricht----- Von: [hidden email] [mailto:[hidden email]] Im Auftrag von Carolina Lennon Gesendet: Dienstag, 9. Juni 2009 09:55 An: [hidden email] Betreff: st: Robust vs Cluster errors using xtreg fe in Stata10 Dear all: I am working with panel data (countries years) and I was running fixed effect estimations using alternatively the robust option and cluster option in Stata 10. To my surprise I have obtained the same standard errors in both cases. So the question is: is this possible? In theory they must be different. Additionally, I remember doing the same exercise (though using other data set) with stata 9 and at that moment, the SE for the alternative options were different. Maybe I am doing something wrong! In particular I am running the following codes: xtreg depvar regressors year_dummies , fe vce(cluster country) xtreg depvar regressors year_dummies , fe vce(robust) where the database was previously defined as the panel: tsset country year, yearly Many Thanks Carolina Note: the options "robust" and "cluster(country)" give the same result! * * 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/ |
In reply to this post by Carolina Lennon
Carolina Lennon and Martin--
-help whatsnew- and search for xtreg to see why (stock and watson ref) On Tue, Jun 9, 2009 at 5:52 AM, Martin Weiss<[hidden email]> wrote: > > <> > > In this example from http://www.stata-press.com/books/mus.html, > the SEs coincide btw -robust- and -cluster- as well... > > > ************* > use http://www.stata-press.com/data/mus/mus08psidextract.dta,/* > */ clear > > qui{ > xtreg /* > */ lwage exp exp2 wks ed, /* > */ fe > est store FE_default > > xtreg/* > */ lwage exp exp2 wks ed, /* > */ fe vce(cluster id) > est store FE_cluster > > xtreg /* > */ lwage exp exp2 wks ed, /* > */ fe vce(robust) > est store FE_robust > } > > estimates table FE_default /* > */ FE_cluster FE_robust, se > ************* > > > > HTH > Martin > > > -----Ursprüngliche Nachricht----- > Von: [hidden email] > [mailto:[hidden email]] Im Auftrag von Carolina Lennon > Gesendet: Dienstag, 9. Juni 2009 09:55 > An: [hidden email] > Betreff: st: Robust vs Cluster errors using xtreg fe in Stata10 > > Dear all: > > I am working with panel data (countries years) and I was running fixed > effect estimations using alternatively the robust option and cluster > option in Stata 10. To my surprise I have obtained the same standard > errors in both cases. So the question is: is this possible? In theory > they must be different. Additionally, I remember doing the same > exercise (though using other data set) with stata 9 and at that > moment, the SE for the alternative options were different. Maybe I am > doing something wrong! > > In particular I am running the following codes: > > xtreg depvar regressors year_dummies , fe vce(cluster country) > xtreg depvar regressors year_dummies , fe vce(robust) > > where the database was previously defined as the panel: > tsset country year, yearly > > Many Thanks > Carolina > > Note: the options "robust" and "cluster(country)" give the same result! * * 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/ |
<> Ok, cheers, that explains the observation that Stata 9 gave different results... HTH Martin -----Ursprüngliche Nachricht----- Von: [hidden email] [mailto:[hidden email]] Im Auftrag von Austin Nichols Gesendet: Dienstag, 9. Juni 2009 12:06 An: [hidden email] Betreff: Re: st: AW: Robust vs Cluster errors using xtreg fe in Stata10 Carolina Lennon and Martin-- -help whatsnew- and search for xtreg to see why (stock and watson ref) On Tue, Jun 9, 2009 at 5:52 AM, Martin Weiss<[hidden email]> wrote: > > <> > > In this example from http://www.stata-press.com/books/mus.html, > the SEs coincide btw -robust- and -cluster- as well... > > > ************* > use http://www.stata-press.com/data/mus/mus08psidextract.dta,/* > */ clear > > qui{ > xtreg /* > */ lwage exp exp2 wks ed, /* > */ fe > est store FE_default > > xtreg/* > */ lwage exp exp2 wks ed, /* > */ fe vce(cluster id) > est store FE_cluster > > xtreg /* > */ lwage exp exp2 wks ed, /* > */ fe vce(robust) > est store FE_robust > } > > estimates table FE_default /* > */ FE_cluster FE_robust, se > ************* > > > > HTH > Martin > > > -----Ursprüngliche Nachricht----- > Von: [hidden email] > [mailto:[hidden email]] Im Auftrag von Carolina > Gesendet: Dienstag, 9. Juni 2009 09:55 > An: [hidden email] > Betreff: st: Robust vs Cluster errors using xtreg fe in Stata10 > > Dear all: > > I am working with panel data (countries years) and I was running fixed > effect estimations using alternatively the robust option and cluster > option in Stata 10. To my surprise I have obtained the same standard > errors in both cases. So the question is: is this possible? In theory > they must be different. Additionally, I remember doing the same > exercise (though using other data set) with stata 9 and at that > moment, the SE for the alternative options were different. Maybe I am > doing something wrong! > > In particular I am running the following codes: > > xtreg depvar regressors year_dummies , fe vce(cluster country) > xtreg depvar regressors year_dummies , fe vce(robust) > > where the database was previously defined as the panel: > tsset country year, yearly > > Many Thanks > Carolina > > Note: the options "robust" and "cluster(country)" give the same result! * * 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/ |
In reply to this post by Austin Nichols
Many thanks Martin and Austin!
I am new in this list and I am greatly surprised by your fast and helpful response ! Then, what I learnt is that, differently form Stata 9, in Stata10 the robust and cluster options are identical for the "xtreg fe" regressions. It seems that I need to read the article of Stock and Watson! to see why it is always required to adjust for cluster in order to correct SE for Heteroskedasticity in FE estimations. Previously, I thought that sometimes it could be not advisable to implement cluster errors but still to implement robust errors (then, the utility of having the two options separately). For instances, when the number of observations were higher enough but either the number of clusters was lower than 50 or the number of explanatory variables exceeded the number of clusters. In any case, the response might be in the article! then many thanks again! Carolina 2009/6/9 Martin Weiss <[hidden email]>: > > <> > > Ok, cheers, that explains the observation that Stata 9 gave different > results... > > > > HTH > Martin > > > -----Ursprüngliche Nachricht----- > Von: [hidden email] > [mailto:[hidden email]] Im Auftrag von Austin Nichols > Gesendet: Dienstag, 9. Juni 2009 12:06 > An: [hidden email] > Betreff: Re: st: AW: Robust vs Cluster errors using xtreg fe in Stata10 > > Carolina Lennon and Martin-- > -help whatsnew- and search for xtreg to see why (stock and watson ref) > > On Tue, Jun 9, 2009 at 5:52 AM, Martin Weiss<[hidden email]> wrote: >> >> <> >> >> In this example from http://www.stata-press.com/books/mus.html, >> the SEs coincide btw -robust- and -cluster- as well... >> >> >> ************* >> use http://www.stata-press.com/data/mus/mus08psidextract.dta,/* >> */ clear >> >> qui{ >> xtreg /* >> */ lwage exp exp2 wks ed, /* >> */ fe >> est store FE_default >> >> xtreg/* >> */ lwage exp exp2 wks ed, /* >> */ fe vce(cluster id) >> est store FE_cluster >> >> xtreg /* >> */ lwage exp exp2 wks ed, /* >> */ fe vce(robust) >> est store FE_robust >> } >> >> estimates table FE_default /* >> */ FE_cluster FE_robust, se >> ************* >> >> >> >> HTH >> Martin >> >> >> -----Ursprüngliche Nachricht----- >> Von: [hidden email] >> [mailto:[hidden email]] Im Auftrag von Carolina > Lennon >> Gesendet: Dienstag, 9. Juni 2009 09:55 >> An: [hidden email] >> Betreff: st: Robust vs Cluster errors using xtreg fe in Stata10 >> >> Dear all: >> >> I am working with panel data (countries years) and I was running fixed >> effect estimations using alternatively the robust option and cluster >> option in Stata 10. To my surprise I have obtained the same standard >> errors in both cases. So the question is: is this possible? In theory >> they must be different. Additionally, I remember doing the same >> exercise (though using other data set) with stata 9 and at that >> moment, the SE for the alternative options were different. Maybe I am >> doing something wrong! >> >> In particular I am running the following codes: >> >> xtreg depvar regressors year_dummies , fe vce(cluster country) >> xtreg depvar regressors year_dummies , fe vce(robust) >> >> where the database was previously defined as the panel: >> tsset country year, yearly >> >> Many Thanks >> Carolina >> >> Note: the options "robust" and "cluster(country)" give the same result! > > * > * 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/ > -- Carolina Lennon Mobile in France: (33) 06 35 34 04 40 Mobile in Austria: (43) 06 76 59 24 553 Office at Wiiw in Vienna: (43) 01 533 66 10 86 Institute website: http://www.wiiw.ac.at Personal website: http://carolina.lennon.research.googlepages.com/ * * 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/ |
In reply to this post by Austin Nichols
Many thanks Martin and Austin!
I am new in this list and I am greatly surprised by your fast and helpful response ! Then, what I learnt is that, differently form Stata 9, in Stata10 the robust and cluster options are identical for the "xtreg fe" regressions. It seems that I need to read the article of Stock and Watson! to see why it is always required to adjust for cluster in order to correct SE for Heteroskedasticity in FE estimations. Previously, I thought that sometimes it could be not advisable to implement cluster errors but still to implement robust errors (then, the utility of having the two options separately). For instances, when the number of observations was higher enough but either the number of clusters was lower than 50 or the number of explanatory variables exceeded the number of clusters. In any case, the response might be in the article! then many thanks again! Carolina 2009/6/9 Martin Weiss <[hidden email]>: > > <> > > Ok, cheers, that explains the observation that Stata 9 gave different > results... > > > > HTH > Martin > > > -----Ursprüngliche Nachricht----- > Von: [hidden email] > [mailto:[hidden email]] Im Auftrag von Austin Nichols > Gesendet: Dienstag, 9. Juni 2009 12:06 > An: [hidden email] > Betreff: Re: st: AW: Robust vs Cluster errors using xtreg fe in Stata10 > > Carolina Lennon and Martin-- > -help whatsnew- and search for xtreg to see why (stock and watson ref) > > On Tue, Jun 9, 2009 at 5:52 AM, Martin Weiss<[hidden email]> wrote: >> >> <> >> >> In this example from http://www.stata-press.com/books/mus.html, >> the SEs coincide btw -robust- and -cluster- as well... >> >> >> ************* >> use http://www.stata-press.com/data/mus/mus08psidextract.dta,/* >> */ clear >> >> qui{ >> xtreg /* >> */ lwage exp exp2 wks ed, /* >> */ fe >> est store FE_default >> >> xtreg/* >> */ lwage exp exp2 wks ed, /* >> */ fe vce(cluster id) >> est store FE_cluster >> >> xtreg /* >> */ lwage exp exp2 wks ed, /* >> */ fe vce(robust) >> est store FE_robust >> } >> >> estimates table FE_default /* >> */ FE_cluster FE_robust, se >> ************* >> >> >> >> HTH >> Martin >> >> >> -----Ursprüngliche Nachricht----- >> Von: [hidden email] >> [mailto:[hidden email]] Im Auftrag von Carolina > Lennon >> Gesendet: Dienstag, 9. Juni 2009 09:55 >> An: [hidden email] >> Betreff: st: Robust vs Cluster errors using xtreg fe in Stata10 >> >> Dear all: >> >> I am working with panel data (countries years) and I was running fixed >> effect estimations using alternatively the robust option and cluster >> option in Stata 10. To my surprise I have obtained the same standard >> errors in both cases. So the question is: is this possible? In theory >> they must be different. Additionally, I remember doing the same >> exercise (though using other data set) with stata 9 and at that >> moment, the SE for the alternative options were different. Maybe I am >> doing something wrong! >> >> In particular I am running the following codes: >> >> xtreg depvar regressors year_dummies , fe vce(cluster country) >> xtreg depvar regressors year_dummies , fe vce(robust) >> >> where the database was previously defined as the panel: >> tsset country year, yearly >> >> Many Thanks >> Carolina >> >> Note: the options "robust" and "cluster(country)" give the same result! > > * > * 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/ > -- Carolina Lennon Mobile in France: (33) 06 35 34 04 40 Mobile in Austria: (43) 06 76 59 24 553 Office at Wiiw in Vienna: (43) 01 533 66 10 86 Institute website: http://www.wiiw.ac.at Personal website: http://carolina.lennon.research.googlepages.com/ * * 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/ |
On 6/9/09, Carolina Lennon <[hidden email]> wrote:
> Previously, I thought that sometimes it could be not advisable to > implement cluster errors but still to implement robust errors (then, > the utility of having the two options separately). For instances, > when the number of observations was higher enough but either the > number of clusters was lower than 50 or the number of explanatory > variables exceeded the number of clusters. In any case, the response > might be in the article! then many thanks again! That's cheating on degrees of freedom. With few clusters, the -vce(cluster)- variance estimator will be unstable -- in any case, the asymptotics of both point estimates and the standard errors is that the number of clusters goes to infinity. You would get standard errors that are anti-conservative, although I don't think I've seen any proof (analytical or by simulation) that they are inconsistent. I am sure you can find situations where they are though. The qualitative explanation that I can offer is that -robust- assumes the data are independent, but when we are in the panel data world, we know we are not. The contributions to the statistical model come from a panel as a whole -- this is the case with the likelihood with -xtreg, mle- for instance, and this is the case with -vce(cluster)-. -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/ |
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