Stata xtreg fe cluster Apr 24, 2024 · I am doing a balanced panel regression (fixed effects model after testing) regarding 20 countries. This is due to the fact that are calculated in different ways under -xtreg,fe-and -regress-. So, going back to the original dataset where i (user:1-500) - j (platform=0 Description areg fits linear regression absorbing categorical factors. This page was created to show various ways that Stata can analyze clustered data. Standard errors are about double for most variables when using the cluster (panel_id) option compared to using just the -fe -ro options; coefficients are the same, as I would expect. Baically, it says I cannot run the test if I had previously used xtreg with those options. countryid if sample==1 [aw=weight], robust Ronggui <ronggui. In some cases this VCE is consistent, and in others it is not. We can now use cluster-robust standard errors and test statistics to obtain valid inference for the usual FE estimator. xtgls *********************************************************** * only use when time points >= groups use xt, clear * default xtgls y x, panels(iid) corr Example 1: Fixed-effects model For the within estimator, consider another version of the wage equation discussed in [XT] xtreg. e. Jan 4, 2018 · 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 variable in your -xtset- command). It is not meant as a way to select a particular model or cluster approach for your data. 2435 min = 10 Between = 0. huang@gmail. firm, i. And what does it suggest about the validity of the model and the command to use? Nov 16, 2022 · Order Cross-sectional time-series regression Stata fits fixed-effects (within), between-effects, and random-effects (mixed) models on balanced and unbalanced data. Can I compute the transformations only once? Why are there four R2s? Which one Oct 11, 2014 · Code: xtreg DV IVs i. Country in the end. Aug 10, 2022 · Hello Stata Community, I am using panel data and I want to execute a Hausman test to test Fixed-Effects and Random-Effects. I thought if autocorrelation exists, it shouldn't change the coefficient that largely i. May 10, 2016 · I am a beginner in panel data analysis and also Stata, and I cant find the answer anywhere. -vce (robust)- in reghdfe will cluster by observation (i. Dear Everyone, I am trying to estimate an augmented production function where am attempting to measure the effect of aggregate variable (FDI in a region) on micro units (productivity of domestic firms). So these two are equivalent Apr 19, 2019 · @DimitriyV. edu [mailto: owner-statalist@hsphsun2. harvard. -- > > I agree with Johannes that fixed effects and clustering > address related but separate concerns, and I think Mark > Schaffer could usefully The Stata code looks like this: xtreg depvar var1 var2 varN if year > 1990, fe vce(cluster clustvar) First, I used the variable "region" which is a numeric variable indicating in which region the observation (person) lives as the cluster variable (clustvar). Oct 5, 2021 · Camille: you cannot obtain the same standard errors (SEs) with -xtreg,fe- and -regress-, but the same point estimates of the coefficients. year, fe robust Fixed-effects (within) regression Group variable: country1 Number of obs = 2,772 Number of groups = 126 R-squared: Within = 0. g. s. year and fe indicates that we are accounting for both entity and time fixed effects. 000 firm year > observations). Alejandro ----- Original Message Follows ----- From: "E. location- as a predictor in the right-hand side of your regression equation? Borrows heavily from previous contributions, many from the Stata camp (reg2hdfe, a2reg, gpreg) Description xtreg fits regression models to panel data. Jan 10, 2020 · Hi, I have a balanced panel with a firmid variable and a time variable. user i. On Fri, Apr 25, 2008 at 2:17 PM, < [email protected] > wrote: > Hi everyone, > > Just a short and probably trivial question, > why when estimating using xtreg, fe when I control bu robust or cluster-robust standard > errors, Stata does not show (and does not calculate as it is not saved on the e ()) the > F-test for all the individual u_i This page was created to show various ways that Stata can analyze clustered data. I understand the difference between fe and re and the use of the Hausman test, which, for me, is n. (Note to StataCorp: this is not clear in the help file. I use an unbalanced panel data which spans for 5 years and estimate the same using a within estimator. 7977 Overall = 0. 1 . What can I do? I want to repeat a regression with different outcome variables. Therefore, why not clustering the standard errors on -panelid- and add -i. , > -----Original Message----- > From: Austin Nichols [mailto: [email protected]] > Sent: Monday, September 25, 2006 3:38 PM > To: [email protected] > Subject: Re: st: appropriateness of cluster option with xtreg, fe > > Jason et al. stata@gmail. com> Prev by Date: Re: st: creating and appending to a local table using results stored in r Oct 9, 2023 · 总结： (1)xtreg、reg、areg用于估计单向或双向固定效应模型，reghdfe用于估计多维固定效应模型； (2)xtreg,fe是Stata提供的官方命令，自动控制个体固定效应，时间固定效应需引入时间虚拟变量进行控制； (3)reg命令使用OLS回归，个体固定效应和时间固定效应均需要引入虚拟变量控制，运行速度慢，汇报 Dec 13, 2016 · The manual documentation for -xtreg- clarifies that for this command, -vce (robust)- is implemented as -vce (cluster panelvar)-. I also understand that xtreg, re can decompose into OLS. Although the coefficients are the same as they should be the standard errors are different. only the standard Description reghdfe is a generalization of areg (and xtreg,fe, xtivreg,fe) for multiple levels of fixed effects, and multi-way clustering. , firm fixed effects are nested within firm, industry, or state clusters). May 25, 2017 · Digging in the Internet I found out that using "robust" automatically adds "cluster" when FE option is specified, but it still does not explain why all 3 are the same. See the xtreg, fe command in [XT] xtreg for an estimator that handles the case in which one categorical variable (often a panel identifier) has a number of groups 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. xtreg, fe estimates the parameters of fixed-effects models: . I made the two estimates using the command xtreg with the option vce (cluster id). reghdfe, on the other hand, produces the same SEs as plm(), so Nov 20, 2020 · Dear, I am estimating a panel data fixed effects model (both year and industry). reghdfe, on the other hand, produces the same SEs as plm(), so References: st: xtreg, fe - xtivreg2, fe and panel units non nested within clusters From: Agnese Romiti <romitiagnese@gmail. xtreg with random effects *********************************************************** xtreg y x, re theta * check fit of re model xthaus * try mle xtreg y x, mle * 8. As an aside, due to the small size corrections one obtains different cluster robust standard errors with reg y x i. 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 Dec 21, 2015 · How can I cluster standard errors for margin estimates computed for Stata rather than using the Delta Method default, which doesn't correct for this? Thanks in advance, Dec 21, 2021 · Peter: 1) if you're using -regress- with -panelid- as a predictor, go -estat hettest-; 2) if you're using -xtreg,fe- (which is more advisable), you should switch to the community-contributed module -xttest3- (actually, -xtreg- does not support -estat hettest-); As an aside, please note that under -xtreg- both the -robust- and the -vce (cluster clusterid)- options call the cluster-robust But when I add a "cluster (panel_id)" option the key finding in the original analysis falls into insignificance: -xtreg dv iv, fe ro cluster (panel_id). I am trying to do xtreg y x, fe for one fixed effect. Why? This is the sample code: xtreg y x1 x2 x3 if sample==1 [aw=weight], fe robust reg y x1 x2 x3 i. Sep 14, 2020 · Dear Stata users, For my analysis, I need to use time fixed effects on my panel data (Country-Year), since most of the variation of my variables is between rather than within. webuse nlswork (National Longitudinal Survey of Young Women, 14-24 years old in 1968) . I did the following: xtreg XTREG’s approach of not adjusting the degrees of freedom is appropriate when the fixed effects swept away by the within-group transformation are nested within clusters (meaning all the observations for any given group are in the same cluster), as is commonly the case (e. In our example, because the within- and between-effects are orthogonal, thus the re produces the same results as the individual fe and be. pid, cl(pid) and xtreg y x, fe or equivalent xtreg y x, fe vce(pid). What, in essence, is the "best" model to run for this analysis? I understand the difference between fe and re and the use of the Hausman test, which, for me, is n. > > Is clustering, as a general matter, statistically appropriate to perform > with -xtreg, fe- (I assume it is because Stata allows it, and Stata is > smart). I cluster SE at the country-level and also include quarterly time-fixed effects. melogit, mepoisson) or using the xt toolkit, including xtset and xtreg. kessler. -nonest- relates to nesting panels within clusters; the cluster-robust cov estimator doesn't require a dof adjustment but only if panels are nested within clusters. com> Prev by Date: Re: st: Using merge with a string id variable Next by Date: Re: Re: Re: st: pick maximum,minimum, mode and median among scalars Previous by thread: st: xtreg, fe - xtivreg2, fe and panel units non nested within clusters Next by thread: st: Mata and do Apr 23, 2019 · If you want to cluster on something that is not nested (and you think you know what you are doing), there is an undocumented option -xtreg, nonest- which will force Stata to calculate the clustered variance post FE and RE even if non-nested. Therefore, which one should be more accurate? And, in addtion, may 'areg' command with 'robust' option be able to control for both heteroskedasticity and Sep 5, 2017 · Conversely, Stata would not be informed that you're analysing non-independent observations. those that areg produces, so adding the option dfadj makes no difference. To run a fixed effects model in Stata, use the “ xtreg ” command with the “fe” option. References: st: xtreg, fe - xtivreg2, fe and panel units non nested within clusters From: Agnese Romiti <romitiagnese@gmail. 5s, and the new version of reghdfe takes 0. For example, let’s estimate the effect of union membership on wages: Nov 22, 2018 · Please help me to decide which command is best given my short unbalanced panel data - xtreg (fe or re), xtgls or xtpcse? The results for xtgls and xtpcse pairwise are significant, but they are not for xtpcse. Juni 2009 09:55 > An: [email protected] > 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. CRVE are heteroscedastic, autocorrelation, and cluster robust. Prev by Date: Re: st: regarding the stata editor stata 11 Next by Date: st: Creating a second output data set Previous by thread: RE: st: Bootstrapping & clustered standard errors (-xtreg-) Next by thread: RE: Re: st: Bootstrapping & clustered standard errors (-xtreg-) Index (es): Date Thread Jan 4, 2022 · Hello, I am analysing a dataset to understand the relationship of a variable ind on the outcome y, which may include clustering at state-level. areg is designed for datasets with categorical variables that have many groups, but the number of groups for each variable does not increase with the sample size. In particular, xtreg with the be option fits random-effects models by using the between regression estimator; with the fe option, it fits fixed-effects models (by using the within regression estimator); and with the re option, it fits random-effects models by using the GLS estimator (producing a matrix-weighted average of the between and Although xtreg, fe will not give you an F-statistic for joint significance of those variables when robust (actually cluster ()) is specified (and now will -areg- with robust), you can always compute it for a standard -robust- estimator if the number of dummies is not too large. It's not as easy to model heteroskedasticity with fixed Stata offers more precise standard errors and confidence intervals (CIs) for three commonly used linear models: regress, areg, and xtreg, fe. Aug 13, 2015 · The cluster–robust–VCE estimator requires that there are many clusters and the disturbances are uncorrelated across the clusters. 7581 serial correlation in the dependent variable. First-differencing (FD) can be similarly motivated: FD to get rid of the fixed effects, and then use cluster-robust errors to mop up the remaining and/or introduced serial correlation. Dave Jacobs -----Original Message----- From: owner-statalist@hsphsun2. year, fe Note: adding i. Also I thought maybe I had to use "vce (cluster id)" to get the constant term but that as not allowed in "xtlogit". All the individuals are observed for two and only two years. Can someone explain why Feb 21, 2025 · That is correct. Although the point estimates produced by areg and xtreg, fe are the same, the estimated VCEs differ when vce(cluster clustvar) is specified because the commands make different assumptions about whether the number of groups increases with the sample size. edu> Re: st: difference between -xtreg, fe- and -areg, absorb- when adding the cluster option From: Ryan Kessler <ryan. Feb 29, 2024 · -xtreg Y X, fe vce (cluster FIRM)- is the simplest way to code a regression of Y on X with FIRM-level fixed effects and clustered standad errors at the FIRM level. We use the notation y[i,t] = X[i,t]*b + u[i] + v[i,t] That is, u [i] is the fixed or random effect and v [i,t] is the pure residual. Sep 10, 2015 · The results are different in terms of R-squared and standard errors. xtreg, fe estimates the parameters Follow-Ups: st: RE: difference between -xtreg, fe- and -areg, absorb- when adding the cluster option From: "Jacobs, David" <jacobs. 184@sociology. xtreg is Stata's cross-sectional time-series regression command. I have a dataset of 291 firms over 15 years (N=4365). xtreg y x, fe * 7. 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 Standard errors > are about double for most variables when using the cluster (panel_id) > option compared to using just the -fe -ro options; coefficients are the > same, as I would expect. Apr 11, 2018 · In general I thought that the xtreg and reghdfe regressions 1&4, 2&5 and 3&6 should have the same coefficients for my independent variable postEDGAR (t hey are done with only time fixed effects via year dummies (1&4), only firm fixed effects via the permno variable (2&5) and with both time and firm fixed effects via year dummies and permno (3&6)) and that only standard errors and respective t Stata's xtreg random effects model is just a matrix weighted average of the fixed-effects (within) and the between-effects. ado file necess Description areg fits linear regression absorbing categorical factors. Now I'm not sure about including the lagged dependent variable as an explanatory variable in the model and estimating the equation by xtabond2 or just leaving the lagged dependent variable out of the model and estimate the equation by xtreg, fe cluster (id). 4s Without clusters, the only difference is that -areg- takes 0. time, robust xtset user time -> xtreg dependent independent i. If I use xtreg, and I order the panel data with xtset, how do I do so that I have fixed effects for two variables? In my case: xtset country_id year xtreg (Y-variable) (X-variable) (X-variable), fe In this case, I get fixed effects for the variable 'country_id'. ac. I want to run a regression with firm fixed effects and then cluster standard errors by May 30, 2022 · Phan: you can use -regress- to estimate the two -fe- regression models and then compare the coefficients of interest via -suest- (with clustered standard errors) and -test-: Apr 15, 2017 · If you are using -xtreg, fe-, then they are the same. The -vce (robust)- requires that observations be independent in order for it to be valid, whereas -vce (cluster groupvar)- accommodates and adjusts for correlation of observations Lisa, > -----Original Message----- > From: [email protected] > [mailto: [email protected]] On Behalf Of > Lisa M. However, i face a problem of heteroscedasticity and it causes me to have insignificant results once i add robust into -xtreg, robust fe- My variables were significant before adding robust, how do I fix this as I need my data to be significant in order to justify my findings. 1 Finite sample size adjustments Stata’s xtreg applies a correction to standard errors for finite sample sizes, while R does not. Is there anyone who could have a look at this model to see what is the problem with -first which keeps saying :option first not allowed. com> References: st: difference between -xtreg, fe- and -areg, absorb- when adding the cluster option From: natalie rebolledo <na. Stata will give us the following results: Fixed-effects (within) regression Number of obs = 70 Group variable: country Number of groups = 7 R-squared: Obs per group: Within = 0. time, fe reghdfe dependent independent, absorb (user time) vce (cluster user) I got the same result (coefficient). xtreg ln_gdppc ln_trade ln_labor i. This is why the more recent versions of Stata's official -xtreg- have the -nonest- and -dfadj- options for fixed effects estimation. Nov 25, 2021 · Stata社が用意したコマンドで固定効果モデルを推定する場合にはxtreg ,fe コマンドを利用しますが、同じ結果を出力できるreghdfeコマンドのほうが何かと便利でよく使われています。 本稿では両者の違いについて紹介します。. I am confused about the difference between using xtreg re and xtreg re vce (cluster state). See also the manual entry [XT] xtreg. The data for this example come from an extract of women from the National Longitudinal Survey of Youth that was described in detail in [XT] xt. 2 the option cluster adjusts only for intragroup correlation, unless is specified the command dfadj. E. I > tired to use xtreg, cluster at state-year level, it 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. Paul Wileyto" < [email protected] > To: [email protected] Subject: Re: st: Why option "robust" and "cluster" doesn't work? Date: Tue, 23 Oct 2007 13:40:51 -0400 > Try using between fe and re and the use of the Hausman test, which, for me, is n. And assuming my assumption is correct, is there a good method for determining whether clustering is warranted/justified in my particular case? In this FAQ we will try to explain the differences between xtreg, re and xtreg, fe with an example that is taken from analysis of variance. However, in Stata version 10. ) So the fact that you got the same results with the second and third is not at all surprising. For simplicity, I have shown 4 variables, but the same holds with more than 50 dummy variables. When I run the stata codes : reg dependent independent i. Applying some adjustment factor, such as \ (\frac {\text {n_groups}} {\text {n_groups} - 1}\), will make R’s SEs the same as, or at least very close to, Stata’s SEs. Mar 18, 2020 · I am working with a balanced individual-year panel dataset. The panel variable must be nested within the cluster variable because of the within-panel correlation induced by the within transform. As some of my main explanatory variables vary mainly at > the country-level (e. ) More precisely, if I don't cluster, -areg- seems to include the absorbed regressors into the count for K, but if I do cluster, it only counts the explicit regressors. xtset id state => when running xtreg, fe , it would run the fixed effect on state. de> wrote: > Dear Statalisters, > I want to estimate a large cross-country panel model (> 50. Dec 14, 2019 · Clyde Schechter It appears that OLS dropped quadratic term but kept state FE and linear trend, but xtreg dropped state FE but kept both interaction terms. xtset Panel variable: idcode (unbalanced) Time variable: year, 68 to 88, but with gaps Delta: 1 unit Follow-Ups: Re: st: difference between -xtreg, fe- and -areg, absorb- when adding the cluster option From: natalie rebolledo <na. I tried running regressions and found substantive differences provided by these two estimators. You cannot get an unclustered -xtreg, vce (robust)- in Stata: it is not implemented, because it is not a valid vce May 26, 2014 · It seems that the degrees of freedom are not adjusted when using xtreg, fe with clustered errors, but they are when using xtreg, fe with nonclustered errors. year, fe estimate store fe xtreg DV IVs i. Especially with large N, small T, there is no reason to model the heteroskedasticity. Feb 21, 2017 · Hello, I am estimating the same FE model twice: once with xtreg fe and once with reg including dummy variables. , -u-). 7083 Between = 0. I believe the xtreg command Nov 16, 2022 · Use the new estat mundlak postestimation command after xtreg to choose between random-effects (RE) and fixed-effects (FE) or correlated random-effects (CRE) models, even with cluster–robust, bootstrap, or jackknife standard errors. My question is: how should I implement a two-way clustering? Stata syntax and/or . 25s which makes it faster but still in the same ballpark as -reghdfe-. But is there really an inherent difference between xtreg, re and regress, cluster (id)? The OLS regress, cluster (id) normally gives me "better" results, but I certainly want to understand if it is "correct". But is there really an inherent difference betwe= en xtreg, re and regress, cluster (id)? The OLS regress, cluster (id) nor= mally gives me "better" results, but I certainly want to unde= rstand if it is "correct". The example (below) has 32 observations taken on eight subjects, that is, each subject is observed four times. In particular, this is what Stata shows me. If you specify -xtreg, fe vce (robust)-, Stata re-interprets that to -xtreg, fe vce (cluster panelvar)-. I unders= tand the difference between fe and re and the use of the Hausman test, = which, for me, is n. So you don't have to think about it. But when I add a "cluster (panel_id)" option the key finding in the original analysis falls into insignificance: -xtreg dv iv, fe ro cluster (panel_id). Linear Statistical Models: Regression Regression with Clustered Data Updated for Stata 11 Dec 28, 2020 · Dear Stata Community: I am new to Stata, and have begun gathering information as to how to run fixed effects regression models. However, when I add the fourth dummy, the F-statistic goes missing. I am aware on how to use country specific fixed effects, "xtreg -fe", and that it is similar to using the command regress with i. , areg takes 2 seconds. rebolledo. * (making intercepts random in SAS?, like re in stata?) xtregcluster is useful for discovering potential heterogeneous clusters in linear short panel-data models with FE, similar to an exploratory data analysis approach. Masterov Thank you, what I do not understand is that the command "xtivreg y x, fe vce (cluster id)" and "xtreg (the same)" gives me a constant but "xtlogit y x, fe" does not. For example, let’s estimate the effect of union membership on wages: May 29, 2020 · Once you run -xtreg, fe-, Stata will automatically cluster on your panel variable. 02@gmail. On Sat, May 14, 2011 at 12:30 PM, Jost Heckemeyer <Heckemeyer@zew. I wonder which is better between Xtregar, fe robust cluster() and Xtregar under FE model if one finds autocorrelation or even assumes they exist. As seen in the benchmark do-file (ran with Stata 13 on a laptop), on a dataset of 100,000 obs. , you assume that each observation is independent) which (arguably) is not correct for panel data. edu] On Behalf Of Nov 8, 2015 · The Hausmann-test clearly rejected the random effects model. uk> Prev by Date: st: goodness of fit test for mlogit Next by Date: st: Mata and do files Previous by thread: st: goodness of fit test for mlogit Next by thread: st: RE: xtreg, fe - xtivreg2, fe and panel units non nested within clusters Index (es): Hi all, I have a question about fixed effects regression models. Dear all, I wonder which is better between Xtregar, fe robust cluster() and Xtregar under FE model if one finds autocorrelation or even assumes they exist. ex: xtset id time => when running xtreg, fe , it would run the fixed effect on time. xtreg with the re option fits random-effects models using generalized least squares (GLS); xtreg with the fe option fits fixed-effects models using the within regression estimator; and xtreg with the pa option fits population-avera. Powell > Sent: 08 March 2009 14:34 > To: [email protected] > Subject: st: Clustered standard errors in -xtreg- with dfadj > > Dear List members, > > I would like to follow up on some of your email exchanges > (see email exchange at the > bottom of this email) regarding the If you check the manuals, you'll see the -xtreg, fe- and -areg- use different methods to compute the standard errors. Notice how the two xtreg, fe estimations with nonclustered errors produce the same results, i. Is clustering, as a general matter, statistically appropriate to perform with -xtreg, fe- (I assume it is because Stata allows it, and Stata is smart). pdf manual; - - rreg- do not support -cluster (<whatyouwant>)- because Haizhen, > -----Original Message----- > From: [email protected] > [mailto: [email protected]] On Behalf Of Haizhen Lin > Sent: 01 December 2008 19:50 > To: [email protected] > Subject: st: xtivreg2, xtreg , panels are not nested within clusters > > Dear members, > > My unit is market-year and I want to cluster at state-year level. osu. I don't have my manuals here, but I recall that -xtreg, fe- employs a cluster correction when you specify "r", but -areg- does not. Nick-- From -help whatsnew9-: --update 15sep2005-- (30)B. With other commands, in general, they are different. Why is the choice of omitting variable differ? This is why the more recent versions of Stata's official -xtreg- have the -nonest- and -dfadj- options for fixed effects estimation. So, going back to the original dataset where i (user:1-500) - j (platform=0 May 2, 2022 · if you plan to go -xtreg,fe-, variation in panelid location in between the two interviews allows a coefficient to be estimated. Restricting ourselves to only time-varying covariates, we might suppose that the log of the real wage was a function of the Re: st: difference between -xtreg, fe- and -areg, absorb- when adding the cluster option Title xtreg — Fixed-, between-, and random-effects and population-averaged linear models Partial-out the fixed effects, and then use cluster-robust to address any remaining within-group correlation—use xtreg,fe with cluster(). I run a regression today by using following command: xtset company year xtreg y1 x1 x2 i. Any help would be greatly appreciated. If panels are not nested within clusters and there are few obs per panel, though, or you care about the FE estimates, then you want the larger standard errors. Year, fe // model with year-specific effects xtreg depvar indepvars yeardum*, fe // equivalent to above model xtreg depvar indepvars Year, fe // model with time trend Jan 21, 2017 · Missing F-statistic when using xtreg with fe, vce (cluster) and adding time-fixed effects 21 Jan 2017, 05:30 Dear Statalist user, I'm having an unbalanced panel-dataset and want to do a fixed-effects-estimation. But is there really an inherent difference between xtreg, re and regress, cluster (id)? The OLS regress, cluster (id) normally gives me "better" results, but I certainly want Stata’s xtreg versus mixed / regress In Stata, panel data (repeated measures) can be modeled using mixed (and its siblings e. The null hypothesis of homoskedasticity was clearly rejected and the VIF was highly inflated (>70) for one of my control variables. xtreg, fe and xtreg, re produced cluster-robust VCEs when the panels were not nested within the clusters. year, re estimate store re hausman fe re For more on Hausman's test (and its possible drawbacks) I would point you to -help hausman- and related entry in Stata 13. In Stata 9, -xtreg, fe- and -xtreg, re- offer the cluster option. 对于面板数据，我们有多种估计方法，包括混合OLS、固定效应（FE）、随机效应（RE）和最小二乘虚拟变量（LSDV）等等。不过，我们最为常用的估计方法那自然还是固定效应（组内估计）， 固定效应模型的Stata官方命令… Contents: What does “fixed effect nested within cluster” means? Can I use reghdfe with multi-way clustering but without fixed effects? Can I absorb the fixed effects formed by the combination of two variables? I ran out of memory. estat mundlak is available after xtreg, re; xtreg, fe; and xtreg, cre. But how do so that I have fixed effects for year, and then year+countries? I Apologies for revisiting a topic which has been visited on several occasions over the last couple of years, but could I ask if anyone can clarify the current thinking regarding the relationship between -areg- -xtreg- and the -,cluster ()- option. Things are different with -xtreg-, as you are requested to -xtset- your data first: hence, Stata knows from the start that you're dealing with panel data. I am so confused as I am not sure whether industry and year fixed effects are equivalent to cross-section and period fixed effects. tax rates) I cluster standard errors within > countries, not within firms - as it is generally recommended to do Have you done it? Depending on how you set up your panel data, the "fe" of the xtreg would perform the fixed effect regression accordingly. Although coefficients are the same in both cases, the 'xtreg' command generates smaller R-sq (below traditional threshold of 10%) and larger standard errors than 'areg'. escription xtreg fits linear regression models for panel data. For nonlinear fixed effects, see ppmlhdfe (Poisson). id, vce (cluster id)的标准误不一样？,非平衡面板vce不能cluster到 Mundlak (1978), Wooldridge (2019), and xtreg, cre in [XT] xtreg for more details on correlated random-effects models and the Mundlak specification test. For alternative estimators (2sls, gmm2s, liml), as well as additional standard errors (HAC, etc) see ivreghdfe. I have a problem with the command Hausman fixed random. While in -reg- there occurs no difference when clustering or not (all regressors are explicit anyway in -reg-). only the standard errors are effects? And, since 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. Clustering on the Mario Macis < [email protected] > wrote that he could not use the cluster option with -xtreg, fe-. I then tested the fe model using xtreg, fe and reg with firm dummies for multicollinearity (VIF) and heteroskedasticity (xttest3, estat hettest). Because I'm not sure about how to use xtabond2 correctly and I'm only interested in the Nov 22, 2018 · Please help me to decide which command is best given my short unbalanced panel data - xtreg (fe or re), xtgls or xtpcse? The results for xtgls and xtpcse pairwise are significant, but they are not for xtpcse. The inference is robust to serial correlation and heteroskedasticity of unknown form. There is some dependence between observations of an entity across time. Oct 14, 2022 · The obtain the same fitted values retrieved from -regress- after -xtreg,fe-, we have to sum up the fitted value+the panel-wise term of the composite error (i. The short answer is that while Wooldridge discusses and reports cluster-robust standard errors, Ronggui asked -xtreg ,fe- to report robust standard errors. (1) Since -xtreg, fe- and -areg- are equivalent, why is it not possible to request robust standard errors with -xtreg, fe- but it is possible with Jul 31, 2020 · From -help whatsnew9-: --update 15sep2005-- (30)B. Panel Models in Stata and R4. 0 the option cluster was correcting for intragroup correlation and for the within transoform, while in stata 9. 0, the clustered standard errors in xtreg, fe are equal to none of the above. Sep 29, 2020 · As you can see from the following (really basic) toy-example, pooled OLS and -xtreg,fe- give back the same estimate for the coefficient of the single predictor: May 24, 2022 · Hello! I would appreciate an answer to this question. In particular, xtreg with the be option fits random-effects models by using the between regression estimator; with the fe option, it fits fixed-effects models (by using the within regression estimator); and with the re option, it fits random-effects models by using the GLS estimator (producing a matrix-weighted average of the between and st: xtreg, fe with cluster option. 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 Nov 18, 2020 · When I ran xtreg and then the dependent variable, a set of control variables, dummy1-dummy3, firm and year fixed effects, and clustered standard errors at the firm level, Stata does report the F-statistic. 0 May 23, 2016 · Constantin: provided that you have multiple observations for the same id measured (almost) regularly over a given time span, I would follow this approach: - -xtset Person ID Date- - decide between -xtreg, fe- and -xtreg, re- via -hausman- test (which, however, does not support - cluster-ed standard errors; it this is the case, try the user-written command -xtoverid-, that you can get via -help Jason et al. year,,fe nonest vce (cluster num)是什么意思，如果去掉nonest的,为什么固定效应xtreg fe，robust和reg i. The intent is to show how the various cluster approaches relate to one another. When I only use xtreg re (see below) the SEs are smaller than the adjusted OLS with cluster-robust SEs using vce (cluster state), which I understand should be Nov 16, 2022 · xtreg is Stata's feature for fitting linear models for panel data. This document is an attempt to show the equivalency of the models between the two commands. com> Prev by Date: st: twoway contour problem Next by Date: st: creating and appending to a local table Dear all Hi I have a question concerning the cluster option with xtreg, fe. You must now specify the new nonest option to get a cluster-robust VCE when the panels are not nested within the clusters. The way you coded squared age is another issue that may bite with -margins-, as Stata does not recognize the relationship that you would like to create between -age Oct 18, 2016 · I have a panel dataset and I would like to estimate a linear equation in a fixed effects framework. Does anyone know the adjustment factor that multiplies V? Oct 27, 2015 · And how does one test the necessity of clustered errors? When you have panel data, with an ID for each unit repeating over time, and you run a pooled OLS in Stata, such as: reg y x1 x2 z1 z2 i. See the xtreg, fe command in [XT] xtreg for an estimator that handles the case in which one categorical variable (often a panel identifier) has a number of groups Now I'm not sure about including the lagged dependent variable as an explanatory variable in the model and estimating the equation by xtabond2 or just leaving the lagged dependent variable out of the model and estimate the equation by xtreg, fe cluster (id). Schaffer@hw. This is no longer the case. I saw that in stata 9. year, fe vce (cluster company) This model accounts for both time and fixed effects, right? After showing my professor the results, he asked me to eliminate the fixed effects so I followed the following command which I’m not sure if it’s (The same applies for -xtreg, fe-. Jun 14, 2018 · You can find the literature relating to (the justification of) this in the manual of xtreg. Follow-Ups: st: RE: xtreg, fe - xtivreg2, fe and panel units non nested within clusters From: "Schaffer, Mark E" <M. Outcome Predictor(s) Controlling for heteroskedasticity . id, cluster(id) Or a fixed-effects model: xtreg y x1 x2 z1 z2, fe cluster(id) How does one test the accuracy of using clustered errors? Nov 16, 2023 · Alexandra: I ran across this post just now. On Feb 8, 2008 3:58 PM, Ilaria Tucci < [email protected] > wrote: > Dear all > > Hi I have a question concerning the cluster option with xtreg, fe. stata reg回归后面加vce（cluster id ）和不加有什么区别,做DID模型时用reghdfe命令，可选项vce (robust)和vce (cluster id)回归结果为何不同？,stata命令中xtreg i. I used another panel dataset with i (user) – t (time) level. But if you use xtreg, fe the vce () option doesn t allow cluster so that still doesn t answer why cluster after xtreg, fe was allowed in Stata 9 but not in Stata 10. Oct 14, 2019 · Code: xtreg depvar indepvars i. Jason -----Original Message----- From: [email protected] [mailto: [email protected]] On Behalf Of Johannes Schmieder Sent: Saturday, September 23, 2006 2:27 PM To: [email protected] Subject: Re: st: appropriateness of cluster option with xtreg, fe My thoughts on this: without the clustering, Stata assumes that the underlying statistical model Dec 17, 2017 · I have a very straightforward question: Why do these three commands: xtreg [formula], fe r xtreg [formula], fe r cluster (id) xtreg [formula], fe vce (cluster Apr 17, 2023 · xtreg , fe first cluster (id) does not work 17 Apr 2023, 13:45 Hi I am running this model. month, i. com> wrote about problems getting -xtreg , fe- to replicate the cluster-robust standard errors discussed in Econometric Analysis of Cross Section and Panel Data (Wooldridge,2002:pp274-276). I have searched the FAQs and my understanding is that the -beta option for the standardized coefficient does not work after xtreg. For both cases I ask for robust standard errors. I am aware I can either run -reg or -xtreg for this regression. Nov 7, 2022 · Dear statalist, I want to run a regression with firm and year fixed effects, and with standard errors clustered at the firm level. Reshape the data. Nov 16, 2022 · Absorb not just one but multiple high-dimensional categorical variables in your linear and fixed-effects linear models with option -absorb()- of commands -areg-, -xtreg-, and -ivregress 2sls-. The correct ones are the latter ones. Description xtreg fits regression models to panel data. , xtreg_fe takes 2. * 1. 0333 avg = 10. Based on this reasoning at the moment, I am conducting my analysis Sep 5, 2024 · xtreg y x1 x2 i.