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st: -areg- versus -xtreg, fe- (revised)


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: -areg- versus -xtreg, fe- (revised)
Date   Thu, 3 Jun 2004 00:09:25 +0100 (BST)

I asked:

> Could somebody tell me how -xtreg, fe- is better than -areg- if it cannot
> provide heteroscedasticity-robust standard errors? (Or can it?)

Stupid question, really! I forgot that, of course, FE models models the
time series whilst 'averaging out' the cross-sectional variation, which
-areg- does not. I knew that: honest!

Still, the quandary of whether or not robust standard errors under FE is
possible remains. I notice that FE is the only model (FGLS and -areg-
included) that reports sensible constant values for my data, which is a
plus for me.

CLIVE NICHOLAS        |t: 0(044)191 222 5969
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps
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