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st: Robust Standard Errors in Paneldatasets

From   Léon Bueckins <[email protected]>
To   [email protected]
Subject   st: Robust Standard Errors in Paneldatasets
Date   Tue, 26 Oct 2010 00:15:14 +0200

Hi, I am new to Stata and try to measure herd behavior as deviations in the return dispersion of a large panel dataset. Hence, I wonder which regression type and which standard errors are most applicable as they should correct for heteroscedasticity and autocorrelation. I recently read these two articles about robust standard errors in panel datasets and can't figure out which SE I should use and in case of the clustered method how to apply this to Stata. 

Petersen, M. A. 2008. Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. Review of Financial Studies 22:435–80.

Driscoll, J., & Kraay, A. (1998). CONSISTENT COVARIANCE MATRIX ESTIMATION WITH SPATIALLY DEPENDENT PANEL DATA. Review of Economics & Statistics, 80(4), 549-560. 

I found various methods to apply the regression in Stata and hope you can help me to choose the right one, if any.

* regression using Driscoll-Kraay SEs (need to install the xtscc package first)
xtscc depvar varlist, fe

* regression using Newey-West SEs
newey depvar varlist, lag('T-1') force

* regression using White SEs
xtreg depvar varlist, vce(robust)

* normal panel regression
xtreg depvar varlist, fe robust

* found as well
ivregress gmm depvar varlist, vce(hac nwest opt) perfect

Thanks for your help

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