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Re: st: xtmixed with vce robust or cluster robust


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtmixed with vce robust or cluster robust
Date   Mon, 31 Aug 2009 10:30:14 -0500

The deep theoretical reason for lack of -robust- for panel data is
that meaningful contributions to the objective function/likelihood are
due to panels, rather than individual observations. Arguably one could
wrap -vce(cluster)- on top of that if panels are nested in these
clusters, but from Stata's internal perspective of -_robust-
calculations, that's a very odd thing to do. Bobby G would probably
give a more meaningful answer as the main author of -xtmixed-. I've
heard the argument that "SAS does PROC MIXED with unequal panel
weights" -- the lack of such estimation procedure is essentially the
same panel level argument; see also
http://www.stata.com/support/faqs/stat/xtweight.html. Bobby had a good
answer to that which I don't quite remember. I think it went along the
lines of James Hardin's FAQ that it is not quite clear what the
interpretation of those weights is.

On Sat, Aug 29, 2009 at 10:47 AM, John Antonakis<john.antonakis@unil.ch> wrote:
> Does anyone know why xtmixed does not allow a robust or cluster robust vce?
> Ditto for xtreg with maximum likelihood estimation. Does the procedure that
> Stata implements assures sandwich estimation?

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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