Consider my answer as "for future reference".)
(I recognize that this is a year-old thread, and that the question might have been answered on the Statalist. In fact, those standard errors are identical to -areg, absorb(id) vce(cluster id)- in newer versions of Stata.Īs a side note, it is puzzling that Wooldridge got non-clustered robust standard errors when calling -xtreg, vce(robust)- in version 9, but perhaps I have a flawed understanding of what the call -version 9- does.įor more information on -xtreg- vs -areg-, see the blogpost and comments here. Stata 9) did not make the appropriate degrees of freedom adjustment when -xtreg, vce(robust)- was called, which is why you get a bigger standard error when specifying -version 9. The point estimates will be identical, but standard errors will be different, sometimes substantially so. I.e., the two estimators have different asymptotic properties. areg-, however, assumes that the number of groups is fixed. Moreover, -xtreg- assumes that the number of -xtset- groups (id in your example) grows when more data is added to the sample. The latter seems to be what Wooldridge estimated. xtreg- with fixed effects and the -vce(robust)- option will automatically give standard errors clustered at the id level, whereas -areg- with -vce(robust)- gives the non-clustered robust standard errors. Specifically, the command areg lpassen lfare ldist ldistsq y98 y99 y00, absorb(id) vce(robust) Use -areg- in Stata, and the standard errors will come out as in the textbook. Note that the data to go along with this question can be found here: Īlternatively, you can load it directly into Stata using use, clear
#Fixed effects stata how to
Could someone explain how to obtain these standard It gives results that are different from the book. However, the command xtreg lpassen lfare ldist ldistsq y98 y99 y00, i(id) fe vce(robust)ĭoes not work for column (2). I was able to get column (1) with xtreg lpassen lfare ldist ldistsq y98 y99 y00, i(id)Īnd the corresponding standard errors with xtreg lpassen lfare ldist ldistsq y98 y99 y00, i(id) vce(robust) I was able to to get the conventional standard errors using the command xtreg lpassen lfare ldist ldistsq y98 y99 y00, i(id) fe Here I'm specifically trying to figure out how to obtain the robust standard errors (shown in square brackets) in column (2). 357 of Econometric Analysis of Cross Section and Panel Data, Second Edition by Jeffrey M Wooldridge. I'm trying to figure out the commands necessary to replicate the following table in Stata.
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