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st: re: robust est of between estimator

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: re: robust est of between estimator
Date   Fri, 21 Jan 2005 17:11:30 -0500

Sandy wrote

I am using the between effects model in xtreg, but would like to have a
robust estimation of standard errors .
The robust option is not available for xtreg.
I have searched extensively for the option, to no avail.
Has anyone programmed this procedure?

The between estimator is OLS on the time averages of the panel units. If you collapse your data on the time variable, you may use regress, robust.


webuse grunfeld
xtreg invest mvalue kstock, be
collapse invest mvalue kstock, by(company)
reg invest mvalue kstock

Now you can do the latter reg with the robust option.

Kit Baum, Boston College Economics

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