Mark Schaffer Mark <M.E.Schaffer@hw.ac.uk> asks about -e(vcetype)- and its
affect on the 'Std. Err.' heading in Stata's estimation table:
> 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?
As Mark points out, Stata's official estimation commands use -e(vcetype)- to
label when alternative methods are used to compute standard errors. Here is a
list of some of the labels we use:
Bootstrap
EIM
Jackknife
Linearized (-svy-'s synonym for Robust)
Newey-West
OPG
Robust
Unbiased
A few of Stata's commands use -e(vcetype)- to determine which method is valid
for computing tests and other results for reporting in their output. As a
rule we refuse to report likelihood ratio tests when -e(vcetype)- contains
'Robust'.
It is generally not a good idea to change the contents of elements of -e()-
that already exist, this is particularly so of -e(vcetype)- when it is set to
'Robust'. So if -e(vcetype)- is set by an estimation command you use to fit a
model, you should probably leave it alone.
Stata programmers who have implemented an alternative method for computing
-e(V)- should feel free to use whatever label they want in -e(vcetype)-; just
be aware that certain labels (like 'Robust') have special meaning.
--Jeff
jpitblado@stata.com
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