[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Different critical values suggested by Stock and Watson

From   "Joao Ricardo F. Lima" <>
Subject   Re: st: Different critical values suggested by Stock and Watson
Date   Tue, 31 Mar 2009 20:33:25 -0300


answering the second point you can type - h whatsnew-

update 25feb2008

20.  xtreg, fe now uses vce(cluster id) when vce(robust) is specified,
in light of the new results in Stock and  Watson,
"Heteroskedasticity-robust standard errors for fixed-effects
panel-data regression," Econometrica 76 (2008): 155-174.


Joao Lima

2009/3/31 Duha Altindag <>:
> 1.      In their Econometrica note in 2008, Stock and Watson suggested
> using clustered standard errors with critical value of
> [sqrt(n/n-1)]*t_{n-1} instead of usual t distribution for tests on
> beta in models that possibly have serially correlated errors (where n
> is the number of groups).
> Do the t-statistics in a regression output given by stata 10
> incorporate this? That is, do the results of xtreg, fe cluster(c)
> provide the p-values calculated by the method of Stock and Watson or
> are they based on usual t critical values? If they are based on usual
> t distribution, then I should compute the Stock-Watson critical values
> by hand.
> 2.      In the same paper, S&W suggested a fix for Cov. Matrix in a FE
> model. I think Stata incorporated this. Can anyone confirm?
> Thank you.
> *
> *   For searches and help try:
> *
> *
> *

Joao Ricardo Lima, D.Sc.
Fone: +5538387264913
Skype: joao_ricardo_lima

*   For searches and help try:

© Copyright 1996–2021 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index