###
### Script to illustrate use of the --robust and
### --cluster options with panel estimators
###

set verbose off
open grunfeld.gdt
list X = const value kstock

### pooled estimate, clustered by id
ols invest X --cluster=ticker 

### fixed-effects estimate, assuming iid observations
panel invest X

### fixed-effects estimate, Arellano-robust standard errors 
panel invest X --robust

### fixed-effects estimate, Beck & Katz-robust standard errors 
set panel_robust pcse
panel invest X --robust

### fixed-effects estimate, clustered by id (correlation is
### allowed between observations that pertain to the same firm) 
### Note: these are by construction identical to the 
### Arellano-robust estimates
panel invest X --cluster=ticker
# the following gives compatibility with Stata's xtivreg2 command
panel invest X --cluster=ticker --no-df-corr

### fixed-effects estimate, clustered by year (correlation is
### allowed between observations that pertain to the same year) 
panel invest X --cluster=year

### fixed-effects estimate, with two-way clustering (correlation 
### is allowed between observations that pertain to the same firm
### OR the same year)
panel invest X --cluster=ticker,year