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st: heteroscedasticity in panel data (Huber-White robust standard errors)


From   P K <statistics_2009@yahoo.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: heteroscedasticity in panel data (Huber-White robust standard errors)
Date   Wed, 17 Jun 2009 21:29:20 +0000 (GMT)

Hi,

I tested my fixed effects panel model for heteroscedasticity using the Huber-White robust standard errors. 
The commands used are:

xtreg AverChangeROEadj2 strategy_01 duration_stability_t1 ceo_change ceo_int_t1 tmt_turnover_t1 sizelnempl age prior_slack_avail2 ROEadj_1 external_change_dummy lgcount_strategy performance_crisis_ROEadj strategy_01_stability_t1 strategy_01_ceo_changet1 stab_ceo_t1 stability_ceoint_strategy, fe i(number) robust

xtreg AverChangeROEadj2 strategy_01 duration_stability_t1 ceo_change ceo_int_t1 tmt_turnover_t1 sizelnempl age prior_slack_avail2 ROEadj_1 external_change_dummy lgcount_strategy performance_crisis_ROEadj strategy_01_stability_t1 strategy_01_ceo_changet1 stab_ceo_t1 stability_ceoint_strategy, fe i(number) robust cluster(number)


Results with robust std errors are different from the results without robust std errors, implying that there is heteroscedasticity.

Any hints on how to deal with this, i.e. shall I report the results with robust std errors?

Thanks,
Pat



      

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