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From |
emanuele canegrati <emanuele.canegrati@hotmail.it> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: RE : RE : Heteroskedasticity and fixed effects (was: st: RE:Re: Weak instruments) |

Date |
Thu, 31 Jul 2008 18:45:23 +0200 |

There are several ways to estimate standard errors with Panel Data: 1. Clustered (Rogers) Standard Errors One-way 2. Clustered Standard Errors Two-way 3. Fama-MacBeth Standard Errors 4. Newey West for panel data sets (5. bootstrapped standard errors) You may prefer Clustered SE one-way in the presence of unobserved individual effects (but not time effects); FM in the presence of unobserved time effects (but not individual effects); Clustered Standard Errors Two-way in the presence of both time and individual effects. Newey West perform well in the presence of unobserved individual effects but should be used as a second best. In order to detect if the model is one-way or two-way you may perform an F-test where, supposing your e(it) = m(i) + n(t) + v(it), H0: m(1) = ... = m(I - 1) and n(1) = ... = n(T-1). Hope this help. Emanuele Canegrati, Ph.D. > From: david.airey@vanderbilt.edu > To: statalist@hsphsun2.harvard.edu > Subject: Re: RE : RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments) > Date: Fri, 18 Jul 2008 08:05:03 -0500 > > . > > This discussion reminds me of an older paper about the ttest: > > Homogeneity of variance in the two-sample means test by Moser and > Stevens. The American Statistician Vol. 46, No. 1, (Feb., 1992), pp. > 19-21. > > The authors looked at the practice of testing for differences in > variance before using the Smith/Welch/Satterthwaite ttest, and also > looked at power in the face of difference sample sizes between the two > groups and variances. > > Cheers, > > -Dave > > > On Jul 18, 2008, at 7:22 AM, Gaulé Patrick wrote: > >> Dear statalisters, >> >> I read with great interest the posts on the merits of robustfying >> from yesterday. Thanks in particular to Mark Schaffer for >> elaborating on my (or rather Stock and Watson's) suggestion that "In >> practice, it just makes more sense to always use robust standard >> errors [rather than the usual standard errors]". >> >> I routinely use robust standard errors rather than the the usual >> standard errors and the arguments raised yesterday did not really >> convince me that this might not be a good idea. If I recap the >> arguments as I understood them: >> >> a) robustifying will not help if the model is misspecified. >> >> Certainly, but then neither will the use of the usual standard errors. >> >> b) robustifying might result in losing power, particularly in small >> and medium samples. >> >> Sure, but if there is heteroskedasticity the usual standard errors >> will be inconsistent. So this suggests that some other ways to >> address heteroskedasticity should be explored, not that the usual >> standard errors should be used. If there is homoskedasticity, then I >> indeed would be better off with the usual standard errors but I >> suspect that homoskedasticity is the exception rather than the rule >> and that heteroskedasticity is much more prevalent in practice. >> >> c) if the model is correctly specified, then robustifying makes very >> little difference. >> >> Perhaps, but that's hardly an argument for not using robust standard >> errors. >> >> Patrick Gaulé >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ _________________________________________________________________ Explore the seven wonders of the world http://search.msn.com/results.aspx?q=7+wonders+world&mkt=en-US&form=QBRE * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*"Verkuilen, Jay" <JVerkuilen@gc.cuny.edu>

**RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**RE : RE : Heteroskedasticity and fixed effects (was: st: RE: Re:Weak instruments)***From:*Gaulé Patrick <patrick.gaule@epfl.ch>

**Re: RE : RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*David Airey <david.airey@vanderbilt.edu>

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