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Re: Re: st: xtgee robust standard errors


From   A.Heitmueller@hw.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: xtgee robust standard errors
Date   Fri, 16 Aug 2002 16:24:23 +0100 (BST)

david, are you saying that xtgee using the robust option is similar 
to a hausman taylor iv estimation where one can use random effects 
despite x_it correlated with u_it in order to get estimates of time 
invariant variables?

axel


On Fri, 16 Aug 2002 10:13:04 -0500, "David M. Drukker, StataCorp." 
<ddrukker@stata.com> wrote:

> Bo Cutter <wcutter@ucla.edu> asked:
> 
> > 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 ?
> 
> And Bobby <rgutierrez@stata.com>, correctly noted that :
> 
> > 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.
> 
> But it should be clarified that in this case -xtgee , robust-
> is providing
> consistent estimates of the standard errors of estimates of
> population
> parameters that are probably NOT what Bo wants from his model.
> 
> Let me explain via an example.  Consider 
> 
> 	y_it = B x_it + u_i + e_it
> 
> where u_i is i.i.d over the panels and e_it is i.i.d over all
> the
> ovbservations.  If x_it is correlated with the unobserved u_i
> then two
> things are true:
> 
> 	i) xtgee will not provide consistent estimates of the
> parameter B for
> 	   the model that assumes x_it is uncorrelated with u_i.
> 	   In particular, if x_it is correlated with u_i, the
> estimate that
> 	   -xtgee- produces for B cannot be interpreted as the
> marginal effect
> 	   of x_it on y_it.
> 	   
> 	ii) But there exists a true value of B in the mis-specified
> 	    model in which x_it is correlated with u_i.  The robust
> option
> 	    provides consistent estimates of the standard
> 	    errors of the estimate B in the mis-specified model.
> 
> 
> --David
> ddrukker@stata.com
> 
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> 

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