Stata: Clustered Standard Errors
I have been implementing a fixed-effects estimator in Python so I can work with data that is too large to hold in memory. To make sure I was calculating my coefficients and standard errors correctly I have been comparing the calculations of my Python code to results from Stata. This lead me to find a surprising inconsistency in Stata’s calculation of standard errors. I illustrate the issue by comparing standard errors computed by Stata’s xtreg fe command to those computed by the standard regress command....