I recommend reghdfe by Sergio Correia because it is extremely versatile. These papers like most previous analyses focus on one-way clustering.
Two Way Clustering In Stata Economics Stack Exchange
In this blog I will compare two R commands plm and felm and the equivalent commands in Stata that allow flexible clustering options for fixed effects models.
Two way clustering stata. There are also versions of the Stata ado file that estimates logit probit probit2ado or tobit models with clustering on two dimensions. Give him credit for it if you use the command. .
On a similar note a fairly recent development has been made in constructing two-way and multiway cluster robust standard errors See for example the Cameron Gelbach and Millers 2011 paper in the Journal of Business and Economic Statistics. I am using the logit2 ado file by Peterson at httpwwwkelloggnorthwesternedurogramminghtm to 2-way cluster on a dataset of 15000 observations with 50 binary variables in Stata 141. No these command lines dont apply two-way clustering.
The firm variable tclustervarname adjusts standard errors for clustering. It is quite easy to use. Evaluating one-way and two-way cluster-robust covariance matrix estimates Christopher F Baum1 Austin Nichols2 Mark E Schaffer3 1Boston College and DIW Berlin 2Urban Institute 3HeriotWatt University and CEPR BOS10 Stata Conference July 2010 Baum Nichols Schaffer BC UI HWU Cluster-Robust Covariance Matrices BOS10 July 2010 1 42.
The ADO files with this code are available on his website. It is quite easy to use. Then I realized all the three ways will give not the results for double clustered data but robust standard errorsthough I was unsure whether I am right or not.
For example with individual-level data and clustering on both household and state one should cluster on state. In the tird xtreg you compute the. You can get Stata ado files that can accommodate two-way clustering of standard errors with linear regression and logit models from either of these websites httpwwwkelloggnorthwesternedufacultypetersenhtmpaperssese_programminghtm.
Ivreg2 charges quarter year unemployment cluster statefips qtryr cluster. Ivreg2 charges quarter year unemployment gmm2s cluster statefips year. They adjust standard errors for one-way clustering on the intersection of -idcode- and -year-.
Other good options are ivreg2 by Baum Schaffer and Stillman or cgmreg by Cameron Gelbach and Miller. It is not meant as a way to select a particular model or cluster approach for your data. The methods and supporting theory for two-way and multi-way clustering and for both OLS and quite general nonlinear estimators are presented in Section 2.
In fact automated two-way clustering as well as two-way fixed effects are only possible in R. The researcher is interested in running a probit regression of binary outcome y on two regressors X and Z by executing probit y X Z. Creg depvar indepvars if in fclustervarname tclustervarname bclusterinteger where fclustervarname adjusts standard errors for clustering on eg.
Pq for pq in zipxy instancesj for j in one_cluster centersi xcluster_size for x in sum_cluster. The format is similar to the cluster2ado command. A lambda function this should take two points represented as lists as arguments and return their sum and the right 2nd arg.
A list computed using a list comprehension sum_cluster reducelambda x y. 0 is default value Nicola At. I need to run the ordered logit model clustering by firm and time eliminating outliers with Studentized Residuals 2.
I have an ordered dependent variable 1 through 21 and continuous independent variables. However I am unable to use the margins command following logit2. Fortunately Mitchell Peterson at Northwestern University has written such code for OLS tobit logit and probit models.
I downloaded the Stata program to estimate a linear model with two-way clustering from somewhere around httpwwwkelloggnorthwesternedufacultypetersenhtmpapersse by using the method in the reference you cited. This assumption does become more binding with multi-way clustering. Two way clustering in ordered logit model restricting rstudent to mitigate outlier effects.
The firm variable tclustervarname adjusts standard errors for clustering on eg. E sample does not identify the estimation sample. For nested two-way or multi-way clustering one simply clusters at the highest level of aggre-gation.
In selecting a method to be used in analyzing clustered data the user must think carefully about. Still when I try two-way clustering Driscoll-Kraay standard errors or any other such new option it throws an error. So how does two-way clustering in Stata work then.
STATA command for clustering at two levels during a Stepwise Binary Logistic Regression Analysis. Like the one-way cluster-robust method our methods assume that the number of clusters goes to infinity. The intent is to show how the various cluster approaches relate to one another.
Vce2way is a module to adjust an existing Stata estimation commands standard errors for two-way clustering. Supply the right 1st arg. This page was created to show various ways that Stata can analyze clustered data.
Here is my output. The format is similar to the cluster2ado command. Whit beb what exactly do you want to get and why.
Code R and Stata and an example dataset to reproduce the results are provided here. Too many variables specified r 103. There are a couple of user-written commands that one can use.
The time variable and finally bclusterinteger is needed if there are multiple observations per firm-year. If you are worried about shocks that affect the entire set of stocks in a given time period this. .
Creg depvar indepvars if in fclustervarname tclustervarname bclusterinteger where fclustervarname adjusts standard errors for clustering on eg. At the present time there is no code that is built into Stata that allows you to calculate two-way clustered standard errors. In the first two xtreg you compute the two fixed effects clustering with respect to both id first and year second and you save the robust matrices as respectively V1 and V2.
Pepper 2002 provides an example. The module works with any Stata command which allows one-way clustering in each dimension of interest separately via -vcecluster varname- option. She is also interested in clustering standard errors in two.
Adjusted for 28443 clusters in double_cluster where 28443 is Number of obs 28443. As I summarise in section 2 of the hyperlinked paper to compute a two-way clustered covariance matrix you need the covariance matrix that your -regress- command line produces but what it produces is not a two-way clustered covariance. Incidentally I looked at at the line Std.
2 A one-stop Stata solution for two-way clustering As a working example consider the following situation.
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