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                                            yuz0101

PanelOLS: Produced different Std. errors from Stata when clustered by the same variable in linearmodels

Hi bashtage, thanks for your quick reply. I follow that. For example, `mod = PanelOLS.from_formula(formula, data) reg = mod.fit(cov_type='clustered', clusters=data['var'])` The standard errors from the `reg` are not robust adjusted....

PanelOLS: Produced different Std. errors from Stata when clustered by the same variable in linearmodels

Thanks for that. `y ~ 1 + a*b*c + a + b + c` is the formula I'm using. There is no entity effects in my regression model. : )

PanelOLS: Produced different Std. errors from Stata when clustered by the same variable in linearmodels

`gen abc = a*b*c` `reg y abc a b c, vce (cluster var)`

PanelOLS: Produced different Std. errors from Stata when clustered by the same variable in linearmodels

Thank you Kevin, for all your efforts. I still got different results. I noticed that the std. error from Stata is robust (pls have a look at the scrnshot below)....

PanelOLS: Produced different Std. errors from Stata when clustered by the same variable in linearmodels

I just did a check, and most of the std. errors from Sata is 70% of the std. errors from linearmodels. For the `debiased`, I did the check and found...

PanelOLS: Produced different Std. errors from Stata when clustered by the same variable in linearmodels

Hi Kevin, you are right. Massive thanks for your time. The std, errors in my model are clustered by only one dummy variable. However, I tried that with xtreg and...