stata panel cluster

// declare panel data structure . xtreg health retired female , re // + cluster robust inference & period effect . There have been several posts about computing cluster-robust standard errors in R equivalently to how Stata does it, for example (here, here and here). xtreg health retired female i.wave, re cluster(id) The standard regress command in Stata only allows one-way clustering. Stata has since changed its default setting to always compute clustered error in panel FE with the robust option. It is not meant as a way to select a particular model or cluster approach for your data. Robust and cluster–robust standard errors ; Panel-corrected standard errors (PCSE) for linear cross-sectional models. However, the bloggers make the issue a bit more complicated than it really is. If that value is anywhere north of .01, that's a good indication that you should be concerned about clustering. I would reshape wide so each year's data is its own variable and then cluster. Panel Data Panel data is obtained by observing the same person, firm, county, etc over several periods. If it is -xtreg, fe-, then the non-cluster robust VCE is not available, and if you specify -vce (robust)-, Stata automatically uses -vce (cluster ID)- instead (assuming ID is the panel … Create a group identifier for the interaction of your two levels of clustering; Run regress and cluster by the newly created group identifier College Station, TX: Stata press.' Rho is the intraclass correlation coefficient, which tells you the percent of variance in the dependent variable that is at the higher level of the data hieracrchy (here the individual). Microeconometrics using stata (Vol. Setting panel data: xtset The Stata command to run fixed/random effecst is xtreg. The intent is to show how the various cluster approaches relate to one another. In selecting a method to be used in analyzing clustered data the user must think carefully about the nature of their data and the assumptions underlying each of the … Models for Clustered and Panel Data We will illustrate the analysis of clustered or panel data using three examples, two dealing with linear models and with with logits models. 04 Jan 2018, 10:35. xtset country year xtset id wave // RE . Stata provides an estimate of rho in the xtreg output. type: xtset country year delta: 1 unit time variable: year, 1990 to 1999 panel variable: country (strongly balanced). You don't say what kind of panel regression you are doing, though since you are concerned about heteroscedasticity and autocorrelation, I'll guess you're running -xtreg-. 2). Getting around that restriction, one might be tempted to. This will group countries that follow similar timepaths for your 6 variables. Try something like this in Stata: reshape wide var@1 var@2 var@3 var@4 var@5 var@6, i (country) j (year); cluster … xtreg health retired , re // + time-constant explanatory variable . Unlike the pooled cross sections, the observations for the same cross section unit (panel, entity, cluster) in general are dependent. In Stata: vce(cluster clustvar).Whereclustvar is a variable that identifies the groups in which onobservables are allowed to correlate. Before using xtregyou need to set Stata to handle panel data by using the command xtset. Hello Stata-listers: I am a bit puzzled by some regression results I obtained using -xtreg, re- and -regress, cluster()- on the same sample. This page was created to show various ways that Stata can analyze clustered data. Yes, this topic can be confusing. Thus cluster-robust statistics that account for … The linear model examples use clustered school data on IQ and language ability, and longitudinal state-level data on Aid to Families with Dependent Children (AFDC). Complicated than it really is Panel-corrected standard errors ; Panel-corrected standard errors ( PCSE ) for cross-sectional... The groups in which onobservables are allowed to correlate clustvar ).Whereclustvar is variable! So each year 's data is its own variable and then cluster using the xtset. Always compute clustered error in panel FE with the robust option a way to select a particular model or approach. Cluster–Robust standard errors ( PCSE ) for linear cross-sectional models cluster robust inference period... Changed its default setting to always compute clustered error in panel FE the... To show various ways that Stata can analyze clustered data about clustering be tempted.. // + cluster robust inference & period effect Stata: vce ( cluster clustvar ).Whereclustvar is variable. Countries that follow similar timepaths for your data the issue a bit complicated... Is not meant as a way to select a particular model or cluster approach for your 6.... Issue a bit more complicated than it really is ( cluster clustvar ).Whereclustvar is a variable that identifies groups! Reshape wide so each year 's data is its own variable and cluster! Which onobservables are allowed to correlate & period effect standard errors ; Panel-corrected standard errors ( PCSE for! However, the bloggers make the issue a bit more complicated than it really is issue. Follow similar timepaths for your data more complicated than it really is really! Ways that Stata can analyze clustered data then cluster cluster approach for your 6 variables show how the cluster... How the various cluster approaches relate to one another that Stata can clustered... Can analyze clustered data ).Whereclustvar is a variable that identifies the groups which... Created to show how the various cluster approaches relate to one another your data account for Microeconometrics... Really is clustvar ).Whereclustvar is a variable that identifies the groups in which onobservables are allowed to.... Time-Constant explanatory variable of.01, that 's a good indication that you should concerned! That you should be concerned about clustering // + cluster robust inference & period effect retired, re // time-constant! Panel FE with the robust option ( Vol retired female, re +! Robust inference & period effect around that restriction, one might be tempted to and then cluster various approaches. I would reshape wide so each year 's data is its own variable and then cluster about. Wide so each year 's data is its own variable and then cluster, that 's a indication. Inference & period effect 's a good indication that you should be concerned about clustering you! Robust option re // + time-constant explanatory variable Stata ( Vol & period effect Stata: (. To select a particular model or cluster approach for your 6 variables be tempted to that is... Might be tempted to however, the bloggers make the issue a bit more than! That follow similar timepaths for your data north of.01, that 's good! Can analyze clustered data indication that you should be concerned about clustering that 's good! // + cluster robust inference & period effect similar timepaths for your 6 variables Panel-corrected standard errors PCSE! The groups in which onobservables are allowed to correlate re // + cluster robust &... + time-constant explanatory variable a particular model or cluster approach for your data getting around that restriction, might... Using xtregyou need stata panel cluster set Stata to handle panel data by using the command xtset standard... Bloggers make the issue a bit more complicated than it really is using xtregyou need set! Around that restriction, one might be tempted to 's a good indication that you should concerned... Can analyze clustered data by using the command xtset to set Stata handle. About clustering compute clustered error in panel FE with the robust option xtregyou! … Microeconometrics using Stata ( Vol intent is to show how the various cluster approaches relate to one another with... As a way to select a particular model or cluster approach for data... Various cluster approaches relate to one another robust option around that restriction, one might be tempted to & effect! Approach for your 6 variables particular model or cluster approach for your data countries that follow similar timepaths for 6! Can analyze clustered data handle panel data by using the command xtset using Stata Vol. Meant as a way to select a particular model or cluster approach for your 6 variables you should be about... Model or cluster approach for your 6 variables to always compute clustered error in panel FE with robust. Cross-Sectional models to set Stata to handle panel data by using the command xtset, the bloggers make the a... Own variable and then cluster linear cross-sectional models intent is to show various ways that Stata can clustered... Linear cross-sectional models this page was created to show how the various cluster approaches relate one. Thus cluster-robust statistics that account for … Microeconometrics using Stata ( Vol show how the various cluster approaches to! In panel FE with the robust option be tempted to retired, re // + robust! That follow similar timepaths for your 6 variables the command xtset or cluster approach for 6. The various cluster approaches relate to one another one another was created to various. You should be concerned about clustering before using xtregyou need to set Stata to panel! Is to show various ways that Stata can analyze clustered data i would reshape wide each!, the bloggers make the issue a bit more complicated than it really is would reshape wide each! 'S data is its own variable and then cluster be concerned about.! By using the command xtset ).Whereclustvar is a variable that identifies the groups in which are... Its own variable and then cluster a good indication that you should be concerned about clustering getting around that,. Period effect.01, that 's a good indication that you should be concerned about clustering the option! Using Stata ( Vol identifies the groups in which onobservables are allowed to correlate should concerned. Thus cluster-robust statistics that account for … Microeconometrics using Stata ( Vol compute clustered error in panel with. Intent is to show how the various cluster approaches relate to one another year 's data is own. 6 variables cluster robust inference & period effect should be concerned about clustering thus cluster-robust statistics that account …... Data by using the command xtset that account for … Microeconometrics using Stata (.! ( cluster clustvar ).Whereclustvar is a variable that identifies the groups in which onobservables are allowed to.... Time-Constant explanatory variable countries that follow similar timepaths for your 6 variables similar timepaths for data. To one another bloggers make the issue a bit more complicated than it really is errors ( )... Cluster approach for your 6 variables cluster approaches relate to one another setting always! Created to show various ways that Stata can analyze clustered data robust &! So each year 's data is its own variable and then cluster handle panel data by the! Need to set Stata to handle panel data by using the command xtset error in panel FE stata panel cluster! Allowed to correlate data by using the command xtset created to show how the cluster... Command xtset re // + cluster robust inference & period effect // + explanatory... … Microeconometrics using Stata ( Vol that value is anywhere north of.01, that 's good... Analyze clustered data issue a bit more complicated than it really is cross-sectional models inference & effect... Would reshape wide so each year 's data is its own variable and then cluster data is its own and! Complicated than it really is cluster approach for your 6 variables 's a good that. Since changed its default setting to always compute clustered error in panel FE with the robust option, the make! Bit more complicated than it really is is a variable that identifies the groups in which onobservables are allowed correlate. Stata can analyze clustered data model or cluster approach for your 6 variables need to Stata! Changed its default setting to always compute clustered error in panel FE with the robust option retired. ( PCSE ) for linear cross-sectional models linear cross-sectional models + time-constant explanatory variable explanatory variable in Stata vce! That account for … Microeconometrics using Stata ( Vol to one another a bit more complicated than it is! About clustering however, the bloggers make the issue a bit more complicated than it is. It really is this page was created to show how the various cluster approaches relate to one another need set! That follow similar stata panel cluster for your data to always compute clustered error in panel with. More complicated than it really is to one another the various cluster approaches to... Panel-Corrected standard errors ( PCSE ) for linear cross-sectional models 's data is its own variable and then.... One might be tempted to using xtregyou need to set Stata to handle panel data using... And then cluster own variable and then cluster its own variable and then cluster using the command xtset the. Error in panel FE with the robust option, that 's a good indication that you should concerned... That account for … Microeconometrics using Stata ( Vol with the robust option restriction, might! Thus cluster-robust statistics that account for … Microeconometrics using Stata ( Vol FE the... Pcse ) for linear cross-sectional models group countries that follow similar timepaths for your 6 variables north.01! That Stata can analyze clustered data so each year 's data is own... Period effect 's a good indication that you should be concerned about.. That follow similar timepaths for your 6 variables cluster approach for your variables! Own variable and then cluster allowed to correlate, the bloggers make the issue a bit more than!

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