vce(robust) & vce(cluster unit) in linear regression

[Daniela Rodrigues]

Is there a way to run a linear regression while correcting for heteroskedasticity

vce(robust)

and clustering on a specific unit

vce(cluster unit)

?

Thank you

[Rich Goldstein]

yes, and this is discussed in both the help file and the manual; start with the help file:

help regress

[Daniela Rodrigues]

Thanks Rich Goldstein. I did look into the help file and manual but from those references, my understanding is that it is only possible to use either vce(robust) OR vce(cluster clustvar), and not both at the same time - am I wrong about this? Or is vce(cluster clustvar) enough on its own to deal with heteroskedasticity?

Thank you.

[Rich Goldstein]

vce(cluster clusterid) encompasses vce(robust) - this is stated in the documentation

[Daniela Rodrigues]

Sorry I did not find that info. Thanks very much for pointing that out.