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Re: st: Heteroskedasticity-consistent standard errors.

From   Maarten buis <[email protected]>
To   [email protected]
Subject   Re: st: Heteroskedasticity-consistent standard errors.
Date   Tue, 29 Jan 2008 10:22:08 +0000 (GMT)

--- Grant Peter Kabango <[email protected]> wrote:
> I am estimating my panel data using OLS, and due to presence of
> heterogeneity across my data I need to use heterskedasticity-
> consistent standard errors to do hypothesis testing. 
> Can you please advise what stata command I can therefore use to
> obtain heteroskedasticity-consistent standard errors?

First of all: don't use OLS (-regress- in Stata) for panel data; use 
-xtreg- instead. You can get heteroskedasticity-consistent standard
errors by adding the -vce(robust)- option to your -xtreg- model.

Hope this helps,

Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

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