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Re: Re: st: xtgee robust standard errors
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
On Fri, 16 Aug 2002 10:13:04 -0500, "David M. Drukker, StataCorp."
> Bo Cutter <firstname.lastname@example.org> 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 <email@example.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
> > 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
> 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
> 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
> provides consistent estimates of the standard
> errors of the estimate B in the mis-specified model.
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
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