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Re: st: Stata 11 Random Effects--Std. Errors


From   jpitblado@stata.com (Jeff Pitblado, StataCorp LP)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Stata 11 Random Effects--Std. Errors
Date   Tue, 18 Aug 2009 16:52:46 -0500

Steven Archambault <archstevej@gmail.com> is getting different robust standard
errors in Stata 11 than in Stata 10:

> I am absolutely getting different Robust std. errors in the results of
> my newly downloaded Stata 11 than my old Stata 10.  This occurs only
> for Robust Std. Errors in a Random Effects regression.  I loaded both
> versions of the program and ran the same regression side by side. This
> has an impact on my hausman test and the xtoverid test. I cannot seem
> to find out what the difference in calculation methods are between 10
> and 11.
> 
> Any insight would be helpful.

Steven hasn't shown us what estimation command he is using to fit his random
effects regression, but I suspect he is using -ivreg2- or -xtivreg2- given
that he also directly contacted Mark Schaffer in his post to Statalist.

Last Friday there was an ado-file update for Stata 11 that fixed a problem
with weights and the -_robust- command.

Steven should type the following in Stata

	. update query

then follow the recommendation, which will be to 

	. update all

if his Stata isn't already fully up-to-date.

This fix for -_robust- should resolve the differences that Steven is currently
observing.

Let me re-iterate from my original post, the bug in -_robust- (fixed in last
Friday's ado-file update) affeted only user-written commands that used
-_robust- directly; it did not affect any of Stata's official estimation
commands or any user-written estimators that used -ml- or Mata functions
-optimize()- or -moptimize()-.

Steven mentioned that he is not using weights, so I will be contacting him
directly to get to the bottom of this.

--Jeff
jpitblado@stata.com
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