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)
-----------------------------------------------------------------------------------------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)
-----------------------------------------------------------------------------------------Thanks for any help,
John
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