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


From   Vincenzo Lombardo <vl30@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: xtgls, p(h) versus xtreg, re robust cluster()
Date   Wed, 09 Aug 2006 12:10:14 +0100

thanks mark,
i gave a look at the FAQ's, but they refer to the difference between xtgls and OLS with robust cluster() option...
i had a doubt related to the difference between xtgls, p(h) and Random effect estimator with the robust cluster option...
is there any difference? that is..
is there any difference between running xtgls, p(h) and xtreg, re robust cluster()??
thanks a lot...

In data Wed, 09 Aug 2006 12:04:16 +0100, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> ha scritto:


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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--
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
*
*   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/



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