Re: st: robust

[Scott Cunningham <scunning@gmail.com>]

Debbie,

xtreg supports a robust option.  I wonder if this is because you are  
not telling Stata the identifying variable for the panel?  For  
instance, assume that each observation is delineated by the variable - 
id.  So, like this:

id lnCA lnC1 lnC10 date lnincome
1	100	200	300	2000	25000
1	101	201	301	2001	28000
1	102	202	302	2002	40500
2	200	300	400	2000	14000
2  	....

This would be estimated as:

. xi:xtreg lnincome lnCA lnC1 lnC10 lnC15 i.date, fe i(id) robust

In other words, you need to tell Stata the variable that marks  
observations from a common "family", so to speak.  Try that.  If that  
doesn't work, then I don't know why this isn't working, as xtreg,  
robust works fine for me.

sc



On May 13, 2006, at 10:24 PM, Susie Enders wrote:


> Hi,
>
> I am running panel data regressions with 2-way fixed
> effects, between companies and between years. I need
> to obtain robust standard errors and t-statistics. The
> problem is that when I try to use the robust command I
> get an error message.
>
> When I run the regression as follows it works fine:
> xi:xtreg lnincome lnCA lnC1 lnC10 lnC15 i.date, fe
>
> However when I add "robust" as follows:
> . xi:xtreg lnincome lnCA lnC1 lnC10 lnC15 i.date, fe
> robust
>
> I get the following output (in the first line it looks
> as if it will give the regression output, but then
> instead gives an error message that the robust option
> is not allowed. The part about naturally coded,
> _Idate_136 omitted can be ignored as it gives this
> anyway without robust):
>
> i.date            _Idate_136-183      (naturally
> coded; _Idate_136 omitted)
> option robust not allowed
> r(198);
>
> I have tried studying the help files on robust, xtreg,
> xtdata etc, but still do not understand the problem.
> Is it impossible theoretically to get robust t stats
> and standard errors with such a regression, or is it a
> programming issue? (I did also read about clustering
> but I was wondering if it is possible to get the
> robust stats without that).
>
> I would really appreciate any help, thanks!
>
> Debbie
>
>
> Send instant messages to your online friends http:// 
> uk.messenger.yahoo.com
> *
> *   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/
*
*   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/