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Re: st: white cross-section standard errors


From   Scott Merryman <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: white cross-section standard errors
Date   Mon, 7 Nov 2011 04:15:46 -0600

A Google search of "white diagonal standard errors" brought up this page:

http://www.econ.canterbury.ac.nz/personal_pages/bob_reed/Courses/ECON_324/Week7/Assignment_Week7.pdf

" Another difference is that Stata does not have as many options for
specifying the structure of the error variance-covariance matrix as
Eview does.

When estimating OLS, there are only three options:  (i) conventional
OLS standard errors, (ii) “robust” standard errors -- which is called “White
diagonal” standard errors in Eviews;  and (iii) “Clustered robust” standard
errors -- which is very close to what EViews calls either “White period” or
“White cross-section” standard errors, depending on whether the “cluster”
variable is the cross-sectional (e.g. firm) or time series (e.g. year) variable"

Scott


On Mon, Nov 7, 2011 at 1:20 AM, Mohammad Reza Farzanegan
<Mohammad_Reza.Farzanegan@mailbox.tu-dresden.de> wrote:
> Thank you for your suggestions. It is however still not clear to me which
> option(s) in a regression exactly lead to for example to "white cross
> section" or "white period", "white diagonal" standard errors in STATA.
>
>
>> Mohammad Reza Farzanegan <Mohammad_Reza.Farzanegan@mailbox.tu-dresden.de>:
>> There are many varieties of robust standard errors in Stata; see the
>> manual entry on -regress- for a few or see e.g.
>> help xtpcse
>> help xtgee##correlation
>> ssc install ivreg2
>> help ivreg2
>>
>> On Sun, Nov 6, 2011 at 7:54 AM, Mohammad Reza Farzanegan
>> <Mohammad_Reza.Farzanegan@mailbox.tu-dresden.de> wrote:
>>>
>>> Dear statalist participants,
>>>
>>> As you may know, EViews has 7 options to calculate the "robust" standard
>>> error, while as far as I know, in STATA one can only use the "robust"
>>> option.
>>>
>>> Now my question: Do you know a do-file in STATA to calculate white
>>> cross-section standard errors ( or the other options such as white
>>> period,
>>> white diagonal and so on)?
>>

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