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st: Updates to -ivreg2- and -ranktest-


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Updates to -ivreg2- and -ranktest-
Date   Thu, 6 Oct 2011 23:10:41 +0100

Thanks as usual to Kit Baum, updates to -ivreg2- and -ranktest- are now
available via ssc in the usual way.

Along with some minor bug fixes, the main changes are two new options,
dkraay and kiefer.  Both apply to panel data and hence are relevant for
users of -xtivreg2- as well.

dkraay(#) requests Driscoll-Kraay (1998) standard errors with a
bandwidth of #.  The VCV will be robust to autocorrelated disturbances
that are common to panel units, i.e., spatially dependent panel data.

In fact, DK SEs were available in previous versions of -ivreg2-.  The
option  dkraay(#) is equivalent to using the options cluster(id) and
bw(#) with tsset data where id is the panel identifier.

kiefer requests Kiefer (1980) standard errors.  The VCV will be robust
to arbitrary intra-group autocorrelation (but not heteroskedasticity,
unlike the cluster-robust VCV)

In fact, Kiefer SEs were available in previous versions of -ivreg2-.
The option kiefer is equivalent to using the options kernel(tru) and
bw(#) with tsset data, where # is the full length of the panel.

Further details and discussion can be found in the -ivreg2- help file.

--Mark


References:

Driscoll, J.C. and Kraay, A. 1998. Consistent Covariance Matrix
Estimation With Spatially Dependent Panel Data.  Review of Economics and
Statistics. Vol. 80, No. 4, pp. 549-560.

Kiefer, N.M.  1980.  Estimation of Fixed Effect Models for Time Series
of Cross-Sections with Arbitrary Intertemporal Covariance.  Journal of
Econometrics, Vol. 14, No. 2, pp. 195-202.


-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.

Heriot-Watt University is the Sunday Times
Scottish University of the Year 2011-2012



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