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st: RE: xtgls, p(h) versus xtreg, re robust cluster()


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtgls, p(h) versus xtreg, re robust cluster()
Date   Wed, 9 Aug 2006 12:04:16 +0100

Vincenzo, 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Vincenzo Lombardo
> Sent: Wednesday, August 09, 2006 10:47 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: xtgls, p(h) versus xtreg, re robust cluster()
> 
> dear all,
> i am using panel data; i have a question on gls and robust 
> command. do you know what is the difference between using 
> xtgls, p(hetero), that is groupwise heteroskedasticity, and 
> using xtreg, re robust with or without the cluster() option?

You might want to check the FAQs.  The following one is helpful and I
think indirectly answers your question:

http://stata.co.uk/support/faqs/stat/xtgls_rob.html

--Mark

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
http://www.sml.hw.ac.uk/cert

> In both case, the estimator used should be the GLS, but I do 
> not understand what is the difference between using the two 
> different commands (xtgls, p(h) or xtreg, re robust).
> the coefficients given by the two approaches, indeed, results 
> different, sometimes only slightly, but most of the time the 
> difference quite substantial.
> thanks a lot..
> 
> --
> Vincenzo Lombardo
> University of Sussex, Dept. of Economics University of Napoli 
> Parthenope, DSE
> 12 Canfield Road
> BN2 4DN Brighton - UK
> tel. (UK):++44(0)7765991711
> tel. (ITALY):++393284164302
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