Stas,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Stas Kolenikov
> Sent: 31 August 2009 16:30
> To: [email protected]
> Subject: Re: st: xtmixed with vce robust or cluster robust
>
> The deep theoretical reason for lack of -robust- for panel
> data is that meaningful contributions to the objective
> function/likelihood are due to panels, rather than individual
> observations. Arguably one could wrap -vce(cluster)- on top
> of that if panels are nested in these clusters, but from
> Stata's internal perspective of -_robust- calculations,
> that's a very odd thing to do.
If I'm estimating using -xtmixed- or -xtreg,mle-, it seems natural to me
that I'd want to be covered in the usual "robust" way: the equation is
misspecified enough to mess up the VCE but not enough to make the
coefficient estimates inconsistent, and by using a robust or
cluster-robust VCE I can fix the former.
Can you explain what's odd about this in terms that an applied
econometrician can understand?
Cheers,
Mark
> Bobby G would probably give a
> more meaningful answer as the main author of -xtmixed-. I've
> heard the argument that "SAS does PROC MIXED with unequal
> panel weights" -- the lack of such estimation procedure is
> essentially the same panel level argument; see also
> http://www.stata.com/support/faqs/stat/xtweight.html. Bobby
> had a good answer to that which I don't quite remember. I
> think it went along the lines of James Hardin's FAQ that it
> is not quite clear what the interpretation of those weights is.
>
> On Sat, Aug 29, 2009 at 10:47 AM, John
> Antonakis<[email protected]> wrote:
> > Does anyone know why xtmixed does not allow a robust or
> cluster robust vce?
> > Ditto for xtreg with maximum likelihood estimation. Does
> the procedure
> > that Stata implements assures sandwich estimation?
>
> --
> Stas Kolenikov, also found at http://stas.kolenikov.name
> Small print: I use this email account for mailing lists only.
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