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


From   Steven Archambault <archstevej@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Stata 11 Random Effects--Std. Errors
Date   Tue, 18 Aug 2009 16:34:37 -0600

Yes, I used the xtreg commands. I was under the impression that robust
implied cluster in Stata 10. Maybe I am wrong on that.

On Tue, Aug 18, 2009 at 4:11 PM, Schaffer, Mark E<M.E.Schaffer@hw.ac.uk> wrote:
> Jeff, Steve et al.,
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
>> Jeff Pitblado, StataCorp LP
>> Sent: 18 August 2009 22:53
>> To: statalist@hsphsun2.harvard.edu
>> Subject: Re: st: Stata 11 Random Effects--Std. Errors
>>
>> 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.
>
> I think Steve is using official -xtreg- with random effects plus
> -robust-.
>
> The SEs under Stata 10 are different from those under Stata 11.  I think
> this is because under Stata 10, -re- plus -robust- did not imply
> -cluster-, but under Stata 11, -re- plus -robust- automatically means
> -cluster-.
>
> The manual is kind of opaque on why this change in the behaviour of
> -xtreg- has been introduced, so if Jeff or anyone else can provide more
> details, I and I'm sure others would be very interested.
>
> Cheers,
> Mark
>
>>
>> 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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>>
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
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