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Re: st: xtnbreg - robusteness check and model relevance


From   Mário Marques <[email protected]>
To   [email protected]
Subject   Re: st: xtnbreg - robusteness check and model relevance
Date   Sat, 19 Jan 2013 16:23:36 +0000

Dear Verkuilen,

Thanks you for your comments, I am going to explore a little more the
option of re. There is no option on both xtpoisson and xtnbreg for
robust standard erros :(, I was wondering whether it was possible to
obtain them "manually" (installing a routine or...), the referee's
report of my paper asks for it... Let see what I can do.

Best,
Mário

2013/1/18 JVerkuilen (Gmail) <[email protected]>:
> On Fri, Jan 18, 2013 at 5:16 AM, Mário Marques <[email protected]> wrote:
>>
>> Thank you for your advising lr test, I have performed that,as also
>> Andre suggested, and it works.
>
> Yes it does.
>
>> Regarding the observations dropped because zero outcomes, it was not a
>> huge concern however it represents about 30% of country-pairs. If I
>> perform xtnbreg, re, an excerpt of the output is as follows. Do you
>> think it is plausible and convincing use a random effects instead?
>
> Well I'm not an econometrician so I don't get the imperative to use
> fixed effects. ;) I don't believe the super-population/sampling
> argument behind random effects models and instead view them as
> penalized likelihood estimators so I would generally use fixed effects
> as a way to check the random effects model. FE estimators are pretty
> costly in many circumstances, though, as is clearly happening to you.
> I wonder whether you really have zero inflation going on, too.
>
> But that aside, the answer is I don't really know without having a
> clear idea of your data.
>
>
>
>> I take the oportunity to ask you whether there is any way, under
>> xtnbreg, fe,re model, to obtain clustered/robust standard errors?
>
> Clustering is built into the model. As to whether it's possible to
> obtain robust, the answer is I don't know. If it's not supported
>
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-- 
Mário Marques
University of Minho
School of Economics and Management
Campus de Gualtar
4710-057 Braga
Portugal

Tel: +351 253 604100 (ext. 5589)
Email: [email protected]

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