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st: panel estimations: xtreg with robust se

From   Pierre Azoulay <>
Subject   st: panel estimations: xtreg with robust se
Date   Mon, 7 Nov 2005 08:56:51 -0500

I would really urge you to use the recently-developped xtivreg2 for
this purpose. It will generate heteroskedasticity and auto-correlation
robust se's. Just ommit the IV will estimate fixed effect
specifications, while providing you with standard errors you (and
others) can actually believe. You'll have the choice between
heteroskedasticity/AC of unknown form through the robust cluster()
option, or if you are willing to put a bit more structure on the
auto-correlation patterns in the residuals, you'll have a bunch of
HAC-VCV options open...with xtivreg2, microeconometricians simply have
no excuse anymore for flawed inference, at least in linear models.



Pierre Azoulay
Associate Professor of Management
Columbia University                           Phone: (212) 854-9684
Graduate School of Business                Fax:   Don't send any
3022 Broadway, Uris Hall 704
New York, NY 10023              

Hi statalistuser,

i have a general question concerning panel estimations: when i use xtreg are
there other possibilities to control the standard errors for
heteroskedasticity/autocorrelation than using robust se if I do not want to
use instrumental variables?

Thanks, Michael

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