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st: hetereoskedasticity/serial correlation/clustering with xttobit?


From   David Masclet <david.masclet@univ-rennes1.fr>
To   statalist@hsphsun2.harvard.edu
Subject   st: hetereoskedasticity/serial correlation/clustering with xttobit?
Date   Sat, 09 Feb 2008 17:57:57 +0100

Dear statalist,
I'm a actually a research fellow at the dept of economics (CIRANO,  
Montreal). I've read your very interesting  discussion on statalist  
(Mon, 9 Jul 2007 09:25:59 -0400) about the hetereoskedasticity and  
serial correlation for xtprobit or xttobit. Indeed I and my co-authors  
have exactly the same problem as you. We  aim at estimating a two step  
procedure using a xtprobit mode and then a xttobit. We have been asked  
by some referees to cluster our standard errors at the individual?  
However this option does not exist on stata 9. Have you any solution  
to use robust standard error using xttobit? We have been told that  
such cluster option could exist on stata10 but we have not yet update  
our stata version. Is there any command on stata 10 for this?
Thanks a lot by advance for your answer.
David


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