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Re: st: reg3 option: -robust-


From   Fabiana Visentin <fabiana.visentin@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: reg3 option: -robust-
Date   Mon, 18 Oct 2010 16:51:50 -0400

Kit, at your knowledge - software packages like SAS are offering the
option robust for reg3? I am looking for a way to do this kind of
estimation - eventually out of the Stata package...
thanks a lot for your help,
bests,
Fabiana


2010/10/18 Christopher F Baum <baum@bc.edu>:
> <>
> John said
>
> You could use the -boostrap- option with reg3. Bootstrapped SEs are not
> that different from -robust- ones. See:
>
> Ando, M., & Hodoshima, J. (2007). A note on bootstrapped White's test
> for heteroskedasticity in regression models. Economics Letters, 97(1),
> 46-51.
>
> If memory serves me right, they talk about the general regression case
> (and not simultaneous equations), but this should make no difference to
> the reg3 case.
>
>
>
>
> However to my knowledge there is no reason, in terms of econometric theory, why -sureg- and -reg3- cannot provide vce(robust) or (vce(cluster cvar) options. If there is, I'd like to hear about it. If there isn't, I'd like to see these routines updated. The fact that the more-recently-developed -nlsur- provides both options (but could be used to estimate a linear SUR) suggests that there is no obstacle for -sureg-, and -reg3- is very similar to -sureg- in its logic. I have complained about this many times in 'wishes and grumbles' sessions and on this list, to no avail.
>
> KIt
>
> Kit Baum   |   Boston College Economics and DIW Berlin   |   http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming   |   http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata   |   http://www.stata-press.com/books/imeus.html
>
>
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>



-- 
Fabiana

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