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Re: st: Different critical values suggested by Stock and Watson


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Different critical values suggested by Stock and Watson
Date   Tue, 31 Mar 2009 20:33:25 -0300

Duha,

answering the second point you can type - h whatsnew-

update 25feb2008

20.  xtreg, fe now uses vce(cluster id) when vce(robust) is specified,
in light of the new results in Stock and  Watson,
"Heteroskedasticity-robust standard errors for fixed-effects
panel-data regression," Econometrica 76 (2008): 155-174.

HTH,

Joao Lima


2009/3/31 Duha Altindag <daltin2@tigers.lsu.edu>:
> 1.      In their Econometrica note in 2008, Stock and Watson suggested
> using clustered standard errors with critical value of
> [sqrt(n/n-1)]*t_{n-1} instead of usual t distribution for tests on
> beta in models that possibly have serially correlated errors (where n
> is the number of groups).
>
> Do the t-statistics in a regression output given by stata 10
> incorporate this? That is, do the results of xtreg, fe cluster(c)
> provide the p-values calculated by the method of Stock and Watson or
> are they based on usual t critical values? If they are based on usual
> t distribution, then I should compute the Stock-Watson critical values
> by hand.
>
> 2.      In the same paper, S&W suggested a fix for Cov. Matrix in a FE
> model. I think Stata incorporated this. Can anyone confirm?
>
> Thank you.
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-- 
----------------------------------------
Joao Ricardo Lima, D.Sc.
Professor
UFPB-CCA-DCFS
Fone: +5538387264913
Skype: joao_ricardo_lima
----------------------------------------

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