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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

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

Subject |
RE: st: Stata 11 Random Effects--Std. Errors |

Date |
Tue, 18 Aug 2009 23:45:17 +0100 |

Steve, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Steven Archambault > Sent: 18 August 2009 23:35 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: Stata 11 Random Effects--Std. Errors > > Yes, I used the xtreg commands. I was under the impression > that robust implied cluster in Stata 10. Maybe I am wrong on that. -robust- implied -cluster- in Stata 10 only with fixed effects. In Stata 11, -robust- implies -cluster- with random effects as well. --Mark > > 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 > >> * > >> * 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/ > >> > > > > > > -- > > Heriot-Watt University is a Scottish charity registered > under charity > > number SC000278. > > > > > > * > > * 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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: st: Stata 11 Random Effects--Std. Errors***From:*jpitblado@stata.com (Jeff Pitblado, StataCorp LP)

**RE: st: Stata 11 Random Effects--Std. Errors***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: Stata 11 Random Effects--Std. Errors***From:*Steven Archambault <archstevej@gmail.com>

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