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From |
[email protected] (David M. Drukker, StataCorp.) |

To |
[email protected] |

Subject |
Re: Re: st: xtgee robust standard errors |

Date |
Fri, 16 Aug 2002 10:13:04 -0500 |

Bo Cutter <[email protected]> asked: > 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 ? And Bobby <[email protected]>, correctly noted that : > 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. But it should be clarified that in this case -xtgee , robust- is providing consistent estimates of the standard errors of estimates of population parameters that are probably NOT what Bo wants from his model. Let me explain via an example. Consider y_it = B x_it + u_i + e_it where u_i is i.i.d over the panels and e_it is i.i.d over all the ovbservations. If x_it is correlated with the unobserved u_i then two things are true: i) xtgee will not provide consistent estimates of the parameter B for the model that assumes x_it is uncorrelated with u_i. In particular, if x_it is correlated with u_i, the estimate that -xtgee- produces for B cannot be interpreted as the marginal effect of x_it on y_it. ii) But there exists a true value of B in the mis-specified model in which x_it is correlated with u_i. The robust option provides consistent estimates of the standard errors of the estimate B in the mis-specified model. --David [email protected] * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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