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Re: st: robust estimators and auotcorrelation


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: robust estimators and auotcorrelation
Date   Wed, 20 Apr 2005 12:13:00 +0100

Robin,

Date sent:      	Tue, 19 Apr 2005 15:10:59 -0500
To:             	statalist@hsphsun2.harvard.edu
From:           	Robin Gottfried <rgottfri@sewanee.edu>
Subject:        	st: robust estimators and auotcorrelation
Send reply to:  	statalist@hsphsun2.harvard.edu

> I am using xtgee, robust, to estimate a probit equation for panel 
> data. xtserial indicates I have autocorrelation in the data.
> 
> Does robust estimation correct for autocorrelation

No.  In Stata-ese, "robust" = "robust to arbitrary 
heteroskedasticity".

... but if you use "cluster", then your standard errors will be 
robust to arbitrary autocorrelation and heteroskedasticity.

In both cases, only the SEs are corrected; the coefficients are the 
same with or without these options.

HTH.

--Mark

> or should I also 
> use the Arima correction along with the robust estimation?
> *
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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

*
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