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

Re: st: Robust SEs with panel data


From   "Mark Schaffer" <[email protected]>
To   [email protected]
Subject   Re: st: Robust SEs with panel data
Date   Wed, 08 Dec 2004 15:09:45 -0000

And if the dataset is a balanced panel, the quasidemeaning needed to 
estimate the random effects estimator is easy because the weight used 
for quasidemeaning is a scalar.  Ben Jann's -center- command supports 
this type of quasidemeaning and makes calculating the random effects 
estimator by hand pretty easy.

--Mark

Date sent:      	Wed, 8 Dec 2004 08:22:54 -0500
From:           	Stas Kolenikov <[email protected]>
To:             	[email protected]
Subject:        	Re: st: Robust SEs with panel data
Send reply to:  	[email protected]

> Also, you can transform your data with -xtdata- command, and then
> regress would estimate the (almost) appropriate FE or RE model. As far
> as I can recall, "almost" has to do with degrees of freedom. And here
> you have the luxury of having -robust- and -cluster-. I would
> recommend using the latter, with clustering on individuals, or
> whatever meaning your panels have.
> 
> Stas
> 
> On Wed, 08 Dec 2004 12:48:52 -0000, Mark Schaffer
> <[email protected]> wrote: > > I have an urgent question: > > > >
> I use Stata for some panel data regression. I couldn't find yet a > >
> command for the fixed effects and the random effects approach, both >
> > WITH ROBUST STANDARD ERRORS. The command "robust" that you can use
> for > > simple regressions and for the population-average approach in
> panel > > data regressions does not work. > > > > Can anybody tell me
> the right command for this kind of panel data > > regressions? > >
> -areg- will do fixed effects estimates with robust standard errors.
> 
> -- 
> Stas Kolenikov
> http://stas.kolenikov.name
> *
> *   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
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.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 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index