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st: RE: xtfevd: option robust not allowed, and conformability error


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtfevd: option robust not allowed, and conformability error
Date   Tue, 25 Oct 2011 17:38:09 +0100

You don�explain where -xtfevd- comes from. 

No matter; I'd recommend reading and being able to refute critiques of the procedure in the literature before you even think about applying this procedure. Google takes you to them. 

Nick 
n.j.cox@durham.ac.uk 

Yongzheng Liu

Does anyone familar with command -xtfevd-? I have a strongly balanced panel
data set with 144 observations (no missing obs.). When I run the following
command, "xtfevd y x1 x2 x3, invariant(x2)", stata works but the result
looks strange in the sense that it didnot report the standard
error/t-test/p-value... for variable 'eta' (the error term of the second
stage). When I add option robust to the model "xtfevd y x1 x2 x3,
invariant(x2) robust",  it results with error warning "option robust not
allowed", and when I impose option noconstant instead "xtfevd y x1 x2 x3,
invariant(x2) nocons", it turns out with another error warning
"conformability error". I am really confused with this, does anyone meet
this problem before? Thank you in advance for any thoughts and suggestions.
BTW, I am using STATA 11.


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