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Re: st: white cross-section standard errors


From   Mohammad Reza Farzanegan <Mohammad_Reza.Farzanegan@mailbox.tu-dresden.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: white cross-section standard errors
Date   Tue, 08 Nov 2011 10:08:48 +0100

Thank you Scott very much.

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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--
Dr.Mohammad R. Farzanegan

Humboldt Post-Doctoral Research Fellow (2010-2012)
Dresden University of Technology & ZEW Mannheim
Tel: +49 (351) 463-32895
Fax: + 49 (351) 463-37052
Email (ZEW): farzanegan@zew.de
Email (TUD): Mohammad_Reza.Farzanegan@mailbox.tu-dresden.de
Web (ZEW): http://www.zew.de/en/mitarbeiter/mitarbeiter.php3?action=mita&kurz=mfn




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