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RE: st: white cross-section standard errors


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: white cross-section standard errors
Date   Mon, 7 Nov 2011 10:37:19 +0000

I think you are now expected to do some reading, in the absence of anyone offering to write an individual tutorial that repeats all the pertinent material in the help and manual entries. 

Also, my guess is that the majority of Stata experts on this do not use Eviews, so may be unable or unwilling to try to translate Eviews terminology into Stata terminology. 

As I understand it, "white" in this thread here should be "White", after Halbert White, not least to avoid any confusion with "white noise". Also "STATA" should be "Stata". 

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

Mohammad Reza Farzanegan

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:

>> 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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