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Re: st: xtgee robust standard errors

From (Roberto G. Gutierrez, StataCorp.)
Subject   Re: st: xtgee robust standard errors
Date   Fri, 16 Aug 2002 09:27:06 -0500

Bo Cutter <> asks:

> I am using the xtgee command to get robust standard error estimates for a
> random-effects panel data model. (i.e. xtgee..., family(gauss) link(ident)
> robust).  p.446 of manual S-Z (last sentence, first paragaph) has a sentence
> that implies these robust standard errors are correct even if the
> panel-specific effect is correlated with the regressors.  Can anyone tell me
> if I am interpreting this statement correctly ?  And do you know what the
> reference behind this statement is ?

Yes, this statement is true.  In general, the robust standard errors are a
true indicator of the sample-to-sample variability of your parameter estimates
even in mis-specified models.

As for a reference, try

Domowitz & White (1982).  Misspecified models with dependent observations.
     Journal of Econometrics, 20, 35-58.

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