Grant, Maarten,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Maarten buis
> Sent: Tuesday, January 29, 2008 10:22 AM
> To: [email protected]
> Subject: Re: st: Heteroskedasticity-consistent standard errors.
>
> --- 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.
Stock and Watson have recently shown that the standard method of
calculating heteroskedasticity-robust SEs for the fixed effects
estimator generates an inconsistent VCE. I haven't checked recently but
I believe that Stata's -xtreg,fe- still reports this when called with
-robust- or -vce(robust)-.
The easiest solution is to use a cluster-robust VCE. This is consistent
for the fixed effects estimator.
Cheers,
Mark
References:
James H. Stock
Mark W. Watson
Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data
Regression
http://ideas.repec.org/p/nbr/nberte/0323.html
>
> Hope this helps,
> Maarten
>
>
> -----------------------------------------
> 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
>
> http://home.fsw.vu.nl/m.buis/
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