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Re: st: xtlsdvc and robust variance etimates

From   Giovanni Bruno <[email protected]>
To   [email protected]
Subject   Re: st: xtlsdvc and robust variance etimates
Date   Thu, 23 Jun 2005 19:45:40 +0200

Gaetano Coletta wrote:

> Dear statalist users,
> is there a way to obtain robust variance estimates using 
> xtlsdvc to regress a dynamic panel model?

-xtlsdvc- calculates the variance-covariance
matrix of the bias-corrected LSDV estimator by using 
a parametric bootstrap method, which assumes normality 
and homoscedasticity of the (i,t) disturbances. 

Details on the bias-correction and the var/cov estimation 
are found in my paper:

Giovanni Bruno
(author of xtlsdvc)

Giovanni Bruno
Istituto di Economia Politica, Universit´┐Ż Bocconi
Via U. Gobbi, 5, 20136 Milano
tel. + 02 5836 5411
fax. + 02 5836 5438
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