Dear Stata users,
I am currently working on a revision in which a reviewer has requesred that I estimate standard errors clustered at both the household and years levels.
My dataset us a household panel where each household (hh_id) is observed for at least three years (year). To leverage the longitudinal nature of the data, I am estimating my model with household fixed effects using xtreg in Stata.
However, when I run my main regression with the command:
xtreg y x1 x2, fe vce(cluster group)
Where I define group as group=group(hh_id year), I received the following error:
"panels are not nested within clusters"
This prevents me from applying double-cluster standard errors in a fixed effects specification using xtreg. I would appreciate any guidance on how to properly implement double-clustered standard errors in this setup or alternative methods compatible with household fixed effects.
Thank you very much for your assistance!
I am currently working on a revision in which a reviewer has requesred that I estimate standard errors clustered at both the household and years levels.
My dataset us a household panel where each household (hh_id) is observed for at least three years (year). To leverage the longitudinal nature of the data, I am estimating my model with household fixed effects using xtreg in Stata.
However, when I run my main regression with the command:
xtreg y x1 x2, fe vce(cluster group)
Where I define group as group=group(hh_id year), I received the following error:
"panels are not nested within clusters"
This prevents me from applying double-cluster standard errors in a fixed effects specification using xtreg. I would appreciate any guidance on how to properly implement double-clustered standard errors in this setup or alternative methods compatible with household fixed effects.
Thank you very much for your assistance!
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