Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: 2sls and robust standard errors


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 2sls and robust standard errors
Date   Wed, 26 Feb 2003 18:18:47 -0000

Ed,

Are you looking for robust standard errors for the fixed effects 
estimator?  I'm guessing you are - I'm not sure that the random 
effects IV estimators (EC2SLS and G2SLS) are consistent if the errors 
are heteroskedastic.

If indeed it's IV with fixed effects, then you should be able simply 
to transform your data into mean-deviation form and then run ivreg 
(or ivreg2) with the robust option.  I think Steve Stillman posting 
something to Statalist along these lines some months ago.  Perhaps 
have a look in the Statalist archives.

Hope this helps.

Cheers,
Mark


From:           	Ed Levitas <levitas@uwm.edu>
To:             	statalist@hsphsun2.harvard.edu
Subject:        	st: 2sls and robust standard errors
Date sent:      	Wed, 26 Feb 2003 11:38:23 -0600
Send reply to:  	statalist@hsphsun2.harvard.edu

> Statlisters,
> 
> We are trying to estimate a model using xtivreg (2sls with panel data).
> Does anyone know how to calculate robust standard errors for the parameters
> estimated?  We've looked at the _robust programming command but don't see
> how we could apply that to this scenario.  
> 
> Any help would be greatly appreciated.
> 
> Thanks
> Ed
> 
> ****************************************
> Edward Levitas, PhD
> Assistant Professor
> School of Business Administration
> University of Wisconsin-Milwaukee
> 3202 N. Maryland Ave.
> Milwaukee, WI  53211
> ph: (414) 229-6825
> fx: (414) 229-6957
> levitas@uwm.edu
> 
> *
> *   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/


Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index