Steve,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Steven Archambault
> Sent: 18 August 2009 23:35
> To: [email protected]
> Subject: Re: st: Stata 11 Random Effects--Std. Errors
>
> Yes, I used the xtreg commands. I was under the impression
> that robust implied cluster in Stata 10. Maybe I am wrong on that.
-robust- implied -cluster- in Stata 10 only with fixed effects.
In Stata 11, -robust- implies -cluster- with random effects as well.
--Mark
>
> On Tue, Aug 18, 2009 at 4:11 PM, Schaffer, Mark
> E<[email protected]> wrote:
> > Jeff, Steve et al.,
> >
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of Jeff
> >> Pitblado, StataCorp LP
> >> Sent: 18 August 2009 22:53
> >> To: [email protected]
> >> Subject: Re: st: Stata 11 Random Effects--Std. Errors
> >>
> >> Steven Archambault <[email protected]> is getting
> different robust
> >> standard errors in Stata 11 than in Stata 10:
> >>
> >> > I am absolutely getting different Robust std. errors in the
> >> results of
> >> > my newly downloaded Stata 11 than my old Stata 10. This
> >> occurs only
> >> > for Robust Std. Errors in a Random Effects regression. I
> >> loaded both
> >> > versions of the program and ran the same regression side by
> >> side. This
> >> > has an impact on my hausman test and the xtoverid test. I
> >> cannot seem
> >> > to find out what the difference in calculation methods are
> >> between 10
> >> > and 11.
> >> >
> >> > Any insight would be helpful.
> >>
> >> Steven hasn't shown us what estimation command he is using
> to fit his
> >> random effects regression, but I suspect he is using
> >> -ivreg2- or -xtivreg2- given that he also directly contacted Mark
> >> Schaffer in his post to Statalist.
> >
> > I think Steve is using official -xtreg- with random effects plus
> > -robust-.
> >
> > The SEs under Stata 10 are different from those under Stata 11. I
> > think this is because under Stata 10, -re- plus -robust-
> did not imply
> > -cluster-, but under Stata 11, -re- plus -robust-
> automatically means
> > -cluster-.
> >
> > The manual is kind of opaque on why this change in the behaviour of
> > -xtreg- has been introduced, so if Jeff or anyone else can provide
> > more details, I and I'm sure others would be very interested.
> >
> > Cheers,
> > Mark
> >
> >>
> >> Last Friday there was an ado-file update for Stata 11 that fixed a
> >> problem with weights and the -_robust- command.
> >>
> >> Steven should type the following in Stata
> >>
> >> . update query
> >>
> >> then follow the recommendation, which will be to
> >>
> >> . update all
> >>
> >> if his Stata isn't already fully up-to-date.
> >>
> >> This fix for -_robust- should resolve the differences that
> Steven is
> >> currently observing.
> >>
> >> Let me re-iterate from my original post, the bug in
> -_robust- (fixed
> >> in last Friday's ado-file update) affeted only
> user-written commands
> >> that used
> >> -_robust- directly; it did not affect any of Stata's official
> >> estimation commands or any user-written estimators that used
> >> -ml- or Mata functions
> >> -optimize()- or -moptimize()-.
> >>
> >> Steven mentioned that he is not using weights, so I will be
> >> contacting him directly to get to the bottom of this.
> >>
> >> --Jeff
> >> [email protected]
> >> *
> >> * For searches and help try:
> >> * http://www.stata.com/help.cgi?search
> >> * http://www.stata.com/support/statalist/faq
> >> * http://www.ats.ucla.edu/stat/stata/
> >>
> >
> >
> > --
> > Heriot-Watt University is a Scottish charity registered
> under charity
> > number SC000278.
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
