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Re: st: xtlsdvc and robust variance etimates


From   Giovanni Bruno <giovanni.bruno@uni-bocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtlsdvc and robust variance etimates
Date   Thu, 23 Jun 2005 19:45:40 +0200

Gaetano Coletta wrote:

> Dear statalist users,
> is there a way to obtain robust variance estimates using 
> xtlsdvc to regress a dynamic panel model?

-xtlsdvc- calculates the variance-covariance
matrix of the bias-corrected LSDV estimator by using 
a parametric bootstrap method, which assumes normality 
and homoscedasticity of the (i,t) disturbances. 

Details on the bias-correction and the var/cov estimation 
are found in my paper: 

http://www.cespri.unibocconi.it/folder.php?vedi=2740&tbn=albero&id_folder=1917

Giovanni Bruno
(author of xtlsdvc)



-- 
Giovanni Bruno
Istituto di Economia Politica, UniversitÓ Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
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