Hi all,

A thought, in Stata is it possible to estimate a fixed effects linear probability model with robust standard errors that are also clustered at a certain level?

i.e. I look at panel data that is nested in region of location in an analysis of local area unemployment on health, estimating a linear probability model I know I should model estimates of the standard errors that are robust to heteroskedasticity. At the same time, I want to cluster the standard errors to allow for within area correlation.

I notice that doing both provides diffferent results than doing one or the other:

Clustered and robust:

Code:
. xtreg binary_health_y localunemploy i.localarea i.year age_y i.maritalstatus_y, cluster (current_county_y
> 1) fe robust 
note: 6.localarea omitted because of collinearity
note: 8.localarea omitted because of collinearity
note: 10.localarea omitted because of collinearity
note: 34.localarea omitted because of collinearity
note: 37.localarea omitted because of collinearity
note: 45.localarea omitted because of collinearity
note: 48.localarea omitted because of collinearity
note: 49.localarea omitted because of collinearity
note: 10.year omitted because of collinearity

Fixed-effects (within) regression               Number of obs      =      1938
Group variable: id                              Number of groups   =       998

R-sq:  within  = 0.0502                         Obs per group: min =         1
       between = 0.0011                                        avg =       1.9
       overall = 0.0016                                        max =         3

                                                F(18,28)           =         .
corr(u_i, Xb)  = -0.6945                        Prob > F           =         .

                                (Std. Err. adjusted for 29 clusters in current_county_y1)
-----------------------------------------------------------------------------------------
                        |               Robust
        binary_health_y |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
------------------------+----------------------------------------------------------------
          localunemploy |  -.0102855   .0048639    -2.11   0.043    -.0202487   -.0003222
                        |
              localarea |
                 Cavan  |   -.018267   .2273549    -0.08   0.937    -.4839823    .4474484
                 Clare  |  -.5252115    .202224    -2.60   0.015    -.9394486   -.1109744
                  Cork  |   .3906244    .277995     1.41   0.171    -.1788225    .9600713
               Donegal  |          0  (omitted)
                Dublin  |   .1718237   .2243842     0.77   0.450    -.2878065    .6314539
              Dublin 1  |          0  (omitted)
             Dublin 10  |  -.3292192   .3845495    -0.86   0.399    -1.116933    .4584948
             Dublin 11  |          0  (omitted)
             Dublin 12  |  -.3186343   .4026879    -0.79   0.435    -1.143503    .5062344
             Dublin 14  |  -.1434118   .2753101    -0.52   0.607    -.7073589    .4205354
             Dublin 15  |  -.5067857    .424403    -1.19   0.242    -1.376136    .3625644
             Dublin 16  |   .6643994   .4014137     1.66   0.109    -.1578593    1.486658
             Dublin 18  |  -.5712014   .3931835    -1.45   0.157    -1.376601    .2341985
             Dublin 22  |   .1140665   .2237254     0.51   0.614    -.3442143    .5723472
             Dublin 24  |   .0648586   .2437201     0.27   0.792    -.4343794    .5640965
              Dublin 4  |   .7202541   .3564456     2.02   0.053    -.0098916      1.4504
              Dublin 6  |  -.1533908   .2727381    -0.56   0.578    -.7120695    .4052879
             Dublin 6W  |   .4818072   .1726109     2.79   0.009     .1282297    .8353847
              Dublin 7  |     .41868   .2412359     1.74   0.094    -.0754693    .9128293
              Dublin 8  |   .0001566   .2048933     0.00   0.999    -.4195483    .4198615
           Dublin City  |  -.1254077   .2426099    -0.52   0.609    -.6223715    .3715561
Dún Laoghaire-Rathdown  |  -.0052935   .2083417    -0.03   0.980    -.4320622    .4214752
                Fingal  |  -.6266997   .3952099    -1.59   0.124     -1.43625     .182851
                Galway  |   .4612002   .0138068    33.40   0.000     .4329181    .4894822
           Galway City  |   .5672523   .0295165    19.22   0.000     .5067906    .6277141
                 Kerry  |  -.5674608   .2992189    -1.90   0.068    -1.180383    .0454613
               Kildare  |   .5304143   .1802315     2.94   0.006     .1612269    .8996017
              Kilkenny  |          0  (omitted)
                 Laois  |  -.0744377   .0603635    -1.23   0.228    -.1980866    .0492113
               Leitrim  |   .5543939   .1863086     2.98   0.006     .1727581    .9360297
              Limerick  |          0  (omitted)
              Longford  |   .1264136   .2217173     0.57   0.573    -.3277537     .580581
                 Louth  |   .2030122   .2284723     0.89   0.382     -.264992    .6710165
                  Mayo  |   1.439586   .0208783    68.95   0.000     1.396819    1.482354
                 Meath  |  -.1253544   .3548841    -0.35   0.727    -.8523016    .6015928
              Monaghan  |  -.2798706   .4087279    -0.68   0.499    -1.117112    .5573706
                Offaly  |   .0461998   .2164787     0.21   0.833    -.3972368    .4896363
             Roscommon  |    .639648   .2214608     2.89   0.007     .1860061     1.09329
                 Sligo  |          0  (omitted)
          South Dublin  |   .7029383   .3204609     2.19   0.037      .046504    1.359373
             Tipperary  |  -.0259743   .0450085    -0.58   0.568    -.1181701    .0662215
       Tipperary North  |          0  (omitted)
             Waterford  |          0  (omitted)
             Westmeath  |   .0048053   .2280608     0.02   0.983     -.462356    .4719667
               Wexford  |   .1496822   .2138671     0.70   0.490    -.2884047    .5877691
               Wicklow  |   .3035418   .2532448     1.20   0.241    -.2152065    .8222902
                        |
                   year |
                     5  |  -.0829668    .032599    -2.55   0.017    -.1497429   -.0161908
                    10  |          0  (omitted)
                        |
                  age_y |   .0071394   .0044921     1.59   0.123    -.0020622     .016341
                        |
        maritalstatus_y |
            Cohabiting  |    .048518   .0301603     1.61   0.119    -.0132625    .1102985
             Separated  |  -.0904769   .2354731    -0.38   0.704    -.5728216    .3918679
              Divorced  |  -.1477058   .0899841    -1.64   0.112      -.33203    .0366183
               Widowed  |   .0203674    .305638     0.07   0.947    -.6057036    .6464385
  Single/Never married  |   .0082783   .0633101     0.13   0.897    -.1214065    .1379631
                        |
                  _cons |   .3698727   .1396175     2.65   0.013     .0838793    .6558661
------------------------+----------------------------------------------------------------
                sigma_u |  .54578273
                sigma_e |  .35656453
                    rho |  .70086315   (fraction of variance due to u_i)
-----------------------------------------------------------------------------------------
​​​​​​

Just clustered:

Code:
. xtreg binary_health_y localunemploy i.localarea i.year age_y i.maritalstatus_y, fe cluster (current_count
> y_y1) 
note: 6.localarea omitted because of collinearity
note: 8.localarea omitted because of collinearity
note: 10.localarea omitted because of collinearity
note: 34.localarea omitted because of collinearity
note: 37.localarea omitted because of collinearity
note: 45.localarea omitted because of collinearity
note: 48.localarea omitted because of collinearity
note: 49.localarea omitted because of collinearity
note: 10.year omitted because of collinearity

Fixed-effects (within) regression               Number of obs      =      1938
Group variable: id                              Number of groups   =       998

R-sq:  within  = 0.0502                         Obs per group: min =         1
       between = 0.0011                                        avg =       1.9
       overall = 0.0016                                        max =         3

                                                F(18,28)           =         .
corr(u_i, Xb)  = -0.6945                        Prob > F           =         .

                                (Std. Err. adjusted for 29 clusters in current_county_y1)
-----------------------------------------------------------------------------------------
                        |               Robust
        binary_health_y |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
------------------------+----------------------------------------------------------------
          localunemploy |  -.0102855   .0048639    -2.11   0.043    -.0202487   -.0003222
                        |
              localarea |
                 Cavan  |   -.018267   .2273549    -0.08   0.937    -.4839823    .4474484
                 Clare  |  -.5252115    .202224    -2.60   0.015    -.9394486   -.1109744
                  Cork  |   .3906244    .277995     1.41   0.171    -.1788225    .9600713
               Donegal  |          0  (omitted)
                Dublin  |   .1718237   .2243842     0.77   0.450    -.2878065    .6314539
              Dublin 1  |          0  (omitted)
             Dublin 10  |  -.3292192   .3845495    -0.86   0.399    -1.116933    .4584948
             Dublin 11  |          0  (omitted)
             Dublin 12  |  -.3186343   .4026879    -0.79   0.435    -1.143503    .5062344
             Dublin 14  |  -.1434118   .2753101    -0.52   0.607    -.7073589    .4205354
             Dublin 15  |  -.5067857    .424403    -1.19   0.242    -1.376136    .3625644
             Dublin 16  |   .6643994   .4014137     1.66   0.109    -.1578593    1.486658
             Dublin 18  |  -.5712014   .3931835    -1.45   0.157    -1.376601    .2341985
             Dublin 22  |   .1140665   .2237254     0.51   0.614    -.3442143    .5723472
             Dublin 24  |   .0648586   .2437201     0.27   0.792    -.4343794    .5640965
              Dublin 4  |   .7202541   .3564456     2.02   0.053    -.0098916      1.4504
              Dublin 6  |  -.1533908   .2727381    -0.56   0.578    -.7120695    .4052879
             Dublin 6W  |   .4818072   .1726109     2.79   0.009     .1282297    .8353847
              Dublin 7  |     .41868   .2412359     1.74   0.094    -.0754693    .9128293
              Dublin 8  |   .0001566   .2048933     0.00   0.999    -.4195483    .4198615
           Dublin City  |  -.1254077   .2426099    -0.52   0.609    -.6223715    .3715561
Dún Laoghaire-Rathdown  |  -.0052935   .2083417    -0.03   0.980    -.4320622    .4214752
                Fingal  |  -.6266997   .3952099    -1.59   0.124     -1.43625     .182851
                Galway  |   .4612002   .0138068    33.40   0.000     .4329181    .4894822
           Galway City  |   .5672523   .0295165    19.22   0.000     .5067906    .6277141
                 Kerry  |  -.5674608   .2992189    -1.90   0.068    -1.180383    .0454613
               Kildare  |   .5304143   .1802315     2.94   0.006     .1612269    .8996017
              Kilkenny  |          0  (omitted)
                 Laois  |  -.0744377   .0603635    -1.23   0.228    -.1980866    .0492113
               Leitrim  |   .5543939   .1863086     2.98   0.006     .1727581    .9360297
              Limerick  |          0  (omitted)
              Longford  |   .1264136   .2217173     0.57   0.573    -.3277537     .580581
                 Louth  |   .2030122   .2284723     0.89   0.382     -.264992    .6710165
                  Mayo  |   1.439586   .0208783    68.95   0.000     1.396819    1.482354
                 Meath  |  -.1253544   .3548841    -0.35   0.727    -.8523016    .6015928
              Monaghan  |  -.2798706   .4087279    -0.68   0.499    -1.117112    .5573706
                Offaly  |   .0461998   .2164787     0.21   0.833    -.3972368    .4896363
             Roscommon  |    .639648   .2214608     2.89   0.007     .1860061     1.09329
                 Sligo  |          0  (omitted)
          South Dublin  |   .7029383   .3204609     2.19   0.037      .046504    1.359373
             Tipperary  |  -.0259743   .0450085    -0.58   0.568    -.1181701    .0662215
       Tipperary North  |          0  (omitted)
             Waterford  |          0  (omitted)
             Westmeath  |   .0048053   .2280608     0.02   0.983     -.462356    .4719667
               Wexford  |   .1496822   .2138671     0.70   0.490    -.2884047    .5877691
               Wicklow  |   .3035418   .2532448     1.20   0.241    -.2152065    .8222902
                        |
                   year |
                     5  |  -.0829668    .032599    -2.55   0.017    -.1497429   -.0161908
                    10  |          0  (omitted)
                        |
                  age_y |   .0071394   .0044921     1.59   0.123    -.0020622     .016341
                        |
        maritalstatus_y |
            Cohabiting  |    .048518   .0301603     1.61   0.119    -.0132625    .1102985
             Separated  |  -.0904769   .2354731    -0.38   0.704    -.5728216    .3918679
              Divorced  |  -.1477058   .0899841    -1.64   0.112      -.33203    .0366183
               Widowed  |   .0203674    .305638     0.07   0.947    -.6057036    .6464385
  Single/Never married  |   .0082783   .0633101     0.13   0.897    -.1214065    .1379631
                        |
                  _cons |   .3698727   .1396175     2.65   0.013     .0838793    .6558661
------------------------+----------------------------------------------------------------
                sigma_u |  .54578273
                sigma_e |  .35656453
                    rho |  .70086315   (fraction of variance due to u_i)
-----------------------------------------------------------------------------------------
Just Robust


Code:
. xtreg binary_health_y localunemploy i.localarea i.year age_y i.maritalstatus_y, fe robust 
note: 6.localarea omitted because of collinearity
note: 8.localarea omitted because of collinearity
note: 10.localarea omitted because of collinearity
note: 34.localarea omitted because of collinearity
note: 37.localarea omitted because of collinearity
note: 45.localarea omitted because of collinearity
note: 48.localarea omitted because of collinearity
note: 49.localarea omitted because of collinearity
note: age_y omitted because of collinearity

Fixed-effects (within) regression               Number of obs     =      1,938
Group variable: id                              Number of groups  =        998

R-sq:                                           Obs per group:
     within  = 0.0502                                         min =          1
     between = 0.0004                                         avg =        1.9
     overall = 0.0010                                         max =          3

                                                F(30,997)         =          .
corr(u_i, Xb)  = -0.6927                        Prob > F          =          .

                                              (Std. Err. adjusted for 998 clusters in id)
-----------------------------------------------------------------------------------------
                        |               Robust
        binary_health_y |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
------------------------+----------------------------------------------------------------
          localunemploy |  -.0102855    .009136    -1.13   0.261    -.0282135    .0076425
                        |
              localarea |
                 Cavan  |   -.018267   .3280089    -0.06   0.956     -.661934    .6254001
                 Clare  |  -.5252115   .2191949    -2.40   0.017    -.9553479   -.0950751
                  Cork  |   .3906244   .3120468     1.25   0.211    -.2217194    1.002968
               Donegal  |          0  (omitted)
                Dublin  |   .1718237   .2348421     0.73   0.465    -.2890178    .6326652
              Dublin 1  |          0  (omitted)
             Dublin 10  |  -.3292192   .3181444    -1.03   0.301    -.9535287    .2950903
             Dublin 11  |          0  (omitted)
             Dublin 12  |  -.3186343   .3398729    -0.94   0.349    -.9855827     .348314
             Dublin 14  |  -.1434118   .3021666    -0.47   0.635    -.7363673    .4495437
             Dublin 15  |  -.5067857    .414741    -1.22   0.222    -1.320651    .3070797
             Dublin 16  |   .6643994   .3542445     1.88   0.061    -.0307509     1.35955
             Dublin 18  |  -.5712014   .3740661    -1.53   0.127    -1.305249    .1628458
             Dublin 22  |   .1140665   .2433277     0.47   0.639    -.3634266    .5915596
             Dublin 24  |   .0648586   .2873856     0.23   0.821    -.4990915    .6288086
              Dublin 4  |   .7202541   .3323103     2.17   0.030     .0681463    1.372362
              Dublin 6  |  -.1533908   .2910491    -0.53   0.598    -.7245299    .4177484
             Dublin 6W  |   .4818072   .1536192     3.14   0.002     .1803532    .7832612
              Dublin 7  |     .41868   .3057638     1.37   0.171    -.1813345    1.018695
              Dublin 8  |   .0001566   .2215372     0.00   0.999    -.4345761    .4348893
           Dublin City  |  -.1254077   .3059933    -0.41   0.682    -.7258726    .4750572
Dún Laoghaire-Rathdown  |  -.0052935   .2563242    -0.02   0.984    -.5082903    .4977033
                Fingal  |  -.6266997   .3751952    -1.67   0.095    -1.362963    .1095632
                Galway  |   .4612002    .022001    20.96   0.000     .4180265    .5043738
           Galway City  |   .5672523   .1131448     5.01   0.000     .3452231    .7892816
                 Kerry  |  -.5674607   .3302368    -1.72   0.086      -1.2155    .0805781
               Kildare  |   .5304143   .1514385     3.50   0.000     .2332395    .8275891
              Kilkenny  |          0  (omitted)
                 Laois  |  -.0744377   .1677833    -0.44   0.657    -.4036866    .2548113
               Leitrim  |   .5543939   .1556817     3.56   0.000     .2488924    .8598954
              Limerick  |          0  (omitted)
              Longford  |   .1264136   .2309013     0.55   0.584    -.3266948     .579522
                 Louth  |   .2030123   .2354136     0.86   0.389    -.2589508    .6649753
                  Mayo  |   1.439586   .0363067    39.65   0.000      1.36834    1.510833
                 Meath  |  -.1253544   .3039104    -0.41   0.680    -.7217319    .4710231
              Monaghan  |  -.2798706    .337875    -0.83   0.408    -.9428984    .3831572
                Offaly  |   .0461998   .2550179     0.18   0.856    -.4542336    .5466331
             Roscommon  |    .639648   .2367404     2.70   0.007     .1750813    1.104215
                 Sligo  |          0  (omitted)
          South Dublin  |   .7029384   .3211111     2.19   0.029     .0728072     1.33307
             Tipperary  |  -.0259743   .1005386    -0.26   0.796    -.2232658    .1713171
       Tipperary North  |          0  (omitted)
             Waterford  |          0  (omitted)
             Westmeath  |   .0048053   .3137501     0.02   0.988    -.6108809    .6204916
               Wexford  |   .1496822   .2336562     0.64   0.522    -.3088322    .6081965
               Wicklow  |   .3035418    .262532     1.16   0.248    -.2116368    .8187205
                        |
                   year |
                     5  |    -.04727   .0245417    -1.93   0.054    -.0954292    .0008893
                    10  |   .0713938   .0874613     0.82   0.415    -.1002356    .2430231
                        |
                  age_y |          0  (omitted)
                        |
        maritalstatus_y |
            Cohabiting  |    .048518   .0688095     0.71   0.481      -.08651    .1835459
             Separated  |  -.0904769   .2322185    -0.39   0.697    -.5461699    .3652162
              Divorced  |  -.1477058   .1709027    -0.86   0.388    -.4830761    .1876644
               Widowed  |   .0203674   .2799886     0.07   0.942    -.5290672    .5698021
  Single/Never married  |   .0082783   .0760861     0.11   0.913    -.1410291    .1575856
                        |
                  _cons |   .5902072   .1579593     3.74   0.000     .2802364    .9001781
------------------------+----------------------------------------------------------------
                sigma_u |  .54471768
                sigma_e |  .35656453
                    rho |  .70004346   (fraction of variance due to u_i)
-----------------------------------------------------------------------------------------
It looks like clustering is automatically robust, but that robust obviously doesnt automatically cluster because it doesnt know which level to cluster at. So, should I include both or just cluster, and why?

Thanks for any help,

John