Hi folks. An obscure little question for you:
One of the saved macros after estimation with -robust- or -cluster- is
e(vcetype), which has the contents "Robust". When this macro is
non-empty, the estimation output displayed has an extra line and
"Robust" appears over "Std. Err."
My question: when writing an estimator, is there any reason to stick to
"Robust" or some other Stata standard contents, or is this purely for
display purposes?
I note, for example, that one can have a bit of fun with Ben Jann's
eret2. After an estimation, try
eret2 local vcetype "Sadly Large", replace
and then replay the results.
More seriously, is there any harm, for example, in writing an estimator
that saves e(vcetype) as "Het.-Rob." if the vce is Eicker-Huber-White
heteroskedastic-robust, and "Clust.-Rob." if it's cluster-robust?
--Mark
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