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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   Wed, 19 Aug 2009 15:54:15 +0100

Thanks, David.  Do you have a suggested reading for more details on 4(a)
corresponding to Stock and Watson (2008) for 4(b)?

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> David M. Drukker
> Sent: Wednesday, August 19, 2009 2:59 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Stata 11 Random Effects--Std. Errors
> 
> 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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