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Re: Re: st: Residuals in Panel Data regression


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: Re: st: Residuals in Panel Data regression
Date   Tue, 24 Apr 2012 09:41:35 -0400

<>
On Apr 24, 2012, at 2:33 AM, DD wrote:

> The key question here is: do the conditions/asumptions (regarding error 
> process) differ between OLS and FE??

They surely do not, because the FE estimator is conceptually just OLS with dummy variables for each unit in the panel.
However the meaning of 'robust' VCE changes, in that it should now be cluster-robust by panel unit, rather than standard White/sandwich estimator,
as [xt] xtreg describes.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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