Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: musings on the vce architecture: ways to implement improvements to robust and clustered standard errors


From   László Sándor <sandorl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: musings on the vce architecture: ways to implement improvements to robust and clustered standard errors
Date   Sat, 20 Oct 2012 12:08:00 -0400

Hi,
Guido Imbens and Michal Kolesár have a new paper out on a simple
procedure to improve the final sample properties or "robust VC"
estimators, incl. the case with clustering:
http://www.nber.org/papers/w18478

As Stata is the weapon of choice for most applied microeconomists
doing empirical work, where robust standards and clustering are almost
obligatory, I wonder how easily these suggestions could be added to
Stata. Is the -, vce()- (or -, robust-, or -, cluster()-) architecture
easy to modify? Or end-users could only code up duplicates of the
original commands with some tweaks to the VC estimation? In any case,
can we hope from fellow StataCorp readers that such implementations
can be coming in, say, Stata 13? (I know, I know, nobody will confirm
this or the contrary — consider this email a shout-out to the Imbens
papers and a feature request, not a real question.)

I am also asking because last year Imbens had another paper with
reasonable improvements to standard procedures about standard errors
for many applications, which again looks fit for tweaking something in
the vce/robust/cluster options, not writing improved -regress- etc.
commands: http://www.nber.org/papers/w17442

Thanks,

Laszlo

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index