Bo Cutter <[email protected]> asks:
> I am using the xtgee command to get robust standard error estimates for a
> random-effects panel data model. (i.e. xtgee..., family(gauss) link(ident)
> robust). p.446 of manual S-Z (last sentence, first paragaph) has a sentence
> that implies these robust standard errors are correct even if the
> panel-specific effect is correlated with the regressors. Can anyone tell me
> if I am interpreting this statement correctly ? And do you know what the
> reference behind this statement is ?
Yes, this statement is true. In general, the robust standard errors are a
true indicator of the sample-to-sample variability of your parameter estimates
even in mis-specified models.
As for a reference, try
Domowitz & White (1982). Misspecified models with dependent observations.
Journal of Econometrics, 20, 35-58.
--Bobby
[email protected]
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