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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: mvreg with vce(robust)? |

Date |
Mon, 12 Jul 2010 14:43:13 +0100 |

I don't think -mvreg- can do this. I can't see any sign that -mvreg- uses Mata, so I don't know what to make of your speculation. I guess that you must do these regressions separately. Nick n.j.cox@durham.ac.uk Peter Velte 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. "Nick Cox" <n.j.cox@durham.ac.uk> > 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? Peter Velte > is there a way to perform mvreg with Newey-West-heteroskedasticity-robust > standard errors? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: mvreg with vce(robust)?***From:*"Peter Velte" <run-it@gmx.net>

**st: RE: mvreg with vce(robust)?***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: mvreg with vce(robust)?***From:*"Peter Velte" <run-it@gmx.net>

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