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


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
> >> *
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> >>
> >
> >
> > --
> > Heriot-Watt University is a Scottish charity registered 
> under charity 
> > number SC000278.
> >
> >
> > *
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> >
> 
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> 


-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
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