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RE: st: xtmixed with vce robust or cluster robust

From   "Schaffer, Mark E" <>
To   <>
Subject   RE: st: xtmixed with vce robust or cluster robust
Date   Mon, 31 Aug 2009 17:49:36 +0100


> -----Original Message-----
> From: 
> [] On Behalf Of 
> Stas Kolenikov
> Sent: 31 August 2009 16:30
> To:
> Subject: Re: st: xtmixed with vce robust or cluster robust
> 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.

If I'm estimating using -xtmixed- or -xtreg,mle-, it seems natural to me
that I'd want to be covered in the usual "robust" way: the equation is
misspecified enough to mess up the VCE but not enough to make the
coefficient estimates inconsistent, and by using a robust or
cluster-robust VCE I can fix the former.

Can you explain what's odd about this in terms that an applied
econometrician can understand?


> 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 
> 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<> 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 
> Small print: I use this email account for mailing lists only.
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