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Re: st: RE: mvreg with vce(robust)?


From   "Peter Velte" <run-it@gmx.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: mvreg with vce(robust)?
Date   Mon, 12 Jul 2010 15:11:59 +0200

The issue is as follows: -mvreg- runs much faster on an 8-core server than a loop of -reg- while generating the same results in my case (balanced panel). I assume that is due to the superior parallelization of the Mata code used in -mvreg-. The only difference is that -mvreg- cannot compute heteroskedasticity robust standard errors.

In practical terms assume the following multiple-equation regression:

mvreg portfolio1 portfolio2 portfolio3 = rmrf smb hml mom

Now, instead of ordinary standard errors I want to compute heteroskedasticity robust standard errors for each of the three regressions
portfolio1 = rmrf smb hml mom
portfolio2 = rmrf smb hml mom
portfolio3 = rmrf smb hml mom

Hope that clarifies my question.

Thanks,
Peter

-------- Original-Nachricht --------
> Datum: Mon, 12 Jul 2010 11:44:15 +0100
> Von: "Nick Cox" <n.j.cox@durham.ac.uk>
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: RE: mvreg with vce(robust)?

> Two short answers: 
> 
> 1. In general, hidden options are rare in commands like -mvreg-. If an
> option isn't documented, it usually doesn't exist. 
> 
> 2. What would that look like, theoretically or practically, given that
> -mvreg- is specifically for several dependent variables? 
> 
> Nick 
> n.j.cox@durham.ac.uk 
> 
> Peter Velte
> 
> is there a way to perform mvreg with Newey-West-heteroskedasticity-robust
> standard errors?
> 
> 
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