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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   Wed, 19 Aug 2009 08:37:43 -0600

Thanks for the tip. Much appreciated.

On Wed, Aug 19, 2009 at 7:58 AM, David M. Drukker<ddrukker@stata.com> wrote:
> Steven Archambault <archstevej@gmail.com> and Mark E Schaffer
> <M.E.Schaffer@hw.ac.uk> have asked whether -xtreg .., re vce(robust)-
> changed its meaning between Stata 10 and Stata 11, and if so why the change
> was made.
>
> The answer is yes.  We made the change because we found that the new method
> is robust to a broader class of deviations from identically distributed
> errors.
>
> For future reference, I recommend typing
>
> . help whatsnew10to11
>
> as a first check on whether and why there is a difference between Stata 10
> and Stata 11.
>
> For the case at hand, the help file for whatsnew10to11 says
>
> 4.  Concerning existing estimation command xtreg:
>
>        a.  Specifying -xtreg, re vce(robust)- now means the same as
>            -xtreg, re vce(cluster panelvar).  The new interpretation is
>            robust to a broader class of deviations.  The old interpretation
>            is available under version control.
>
>        b.  Similarly, specifying -xtreg, fe vce(robust)- now means the same
>            as -xtreg, fe vce(cluster panelvar)- in light of the new results
>            by Stock and Watson (2008).
>
>        c.  xtreg now allows the in range qualifier.
>
>
>  David
>  --ddrukker@stata.com
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