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

Re: st: Robust option with panel estimations


From   Jingsong Cui <cui@temple.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Robust option with panel estimations
Date   Wed, 11 Jun 2003 08:35:36 -0400

Hi, Leonid. In addition to -areg- as suggested by David, you 
can also try -xtgls-, which allows heteroskedasticity across 
panels and/or AR(1) autocorrelation. -xtgls- uses different 
assumption than _robust (Huber/White/Sandwich model in 
Stata), but both take care of the panel-heteroskedastic 
issue. You can check out here to see if it is useful to you:
http://www.stata.com/support/faqs/stat/xtgls_rob.html

Among all the -xt- commands, -robust- options seems 
available only with -xtreg, pa- or -xtgee-. Both, however, 
are population-averaged models.

---- Original message ----
>Date: Tue, 10 Jun 2003 16:48:29 -0400
>From: David Jacobs <jacobs.184@osu.edu>  
>Subject: Re: st: Robust option with panel estimations  
>To: statalist@hsphsun2.harvard.edu
>
>You can use AREG with the robust option to get Huber-White 
corrected 
>standard errors for a fixed effects analysis.
>
>Dave Jacobs
>
>At 04:08 PM 6/10/2003 -0400, you wrote:
>>Dear all,
>>
>>Stata provides the option "robust" with reg and ivreg 
commands to use 
>>Huber-White estimator of variance
>>Is it possible to use the Huber-White estimator with panel 
data? xtreg and 
>>xtivreg do not have the "robust option"
>>
>>Thank you,
>>Leonid
>>
>>*
>>*   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/
>
>
>*
>*   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/
*
*   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