Or maybe not precise.I write some R(www.r-project.org) code to get the
robust standard error of fixed-effect model according to Econometric
Analysis of Cross Section and Panel Data
(Wooldridge,1999:pp274-276) .I get the some result of the book,but not
the same as Stata's output.
Is it Stata's problem?
. xtreg lscrap d88 d89 grant grant_1,fe i(fcode) rob
------------------------------------------------------------------------------
| Robust
lscrap | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
d88 | -.0802157 .1033851 -0.78 0.440 -.2852322 .1248008
d89 | -.2472028 .174971 -1.41 0.161 -.5941768 .0997712
grant | -.2523149 .1376767 -1.83 0.070 -.525333 .0207033
grant_1 | -.4215895 .2528442 -1.67 0.098 -.9229891 .0798101
_cons | .5974341 .0779915 7.66 0.000 .442774 .7520941
-------------+----------------------------------------------------------------
My result :
$"Between-Effect Model Coef"
Coef Robust Std.Err Std.Err T-value P-value
d88 -0.08021568 0.09571894 0.1094751 -0.7327297 0.46537157
d89 -0.24720280 0.19251435 0.1332183 -1.8556221 0.06633915
grant -0.25231487 0.14032911 0.1506290 -1.6750751 0.09692392
grant.1 -0.42158951 0.27633474 0.2102000 -2.0056593 0.04748974
$"F-statistics"
F.Model P(Model) F-test ui=0 P(ui=0) Within-R2
6.542595e+00 9.774055e-05 2.466133e+01 3.829378e-40 2.010471e-01
--
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Deparment of Sociology
Fudan University
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