Dear Statalisters,
While running regressions in Stata I've encountered a somewhat strange and counter-intuitive result in my regression. I ran the same regression 3 times, one without any options, one with vce(robust) and another with vce(cluster).
My intuition from the regression was that one without any options will have the lowest standard error, followed by robust option and cluster option. However, I discovered that regression with robust and cluster option had smaller standard error compared to the regression without any option. In fact, the standard error from robust option and cluster option was identical.
What is the possible explanation for this result? If it helps, the code that I ran was:
While running regressions in Stata I've encountered a somewhat strange and counter-intuitive result in my regression. I ran the same regression 3 times, one without any options, one with vce(robust) and another with vce(cluster).
My intuition from the regression was that one without any options will have the lowest standard error, followed by robust option and cluster option. However, I discovered that regression with robust and cluster option had smaller standard error compared to the regression without any option. In fact, the standard error from robust option and cluster option was identical.
What is the possible explanation for this result? If it helps, the code that I ran was:
Code:
xtset industry year xi: xtreg yvar xvar i.year i.industry xi: xtreg yvar xvar i.year i.industry, vce(robust) xi: xtreg yvar xvar i.year i.industry, vce(cluster industry)
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