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st: RE: using xtivreg2 for FE
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: using xtivreg2 for FE
Date
Sun, 20 Feb 2011 19:20:54 -0000
Murod,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Murod Aliyev
> Sent: 19 February 2011 14:04
> To: [email protected]
> Subject: st: using xtivreg2 for FE
>
> Dear all,
> I want to estimate a simple FE model, but there may be
> heteroskedasticity and autocorrelation. As far as I
> understand xtreg fe robust gives Huber-White sandwich
> estimator, which deals with heteroskedasticity only.
> Can I use xtivreg2 with fe robust bw() options to get HAC
> (Het. and autocorrelation consistent) standard errors. Of
> course, I will not specify any instruments, as I want only FE
> estimation.
Yes, you can.
Two points worth noting: (a) -xtreg, fe robust- reports cluster-robust
SEs, not heteroskedasticity-robust SEs as you suggest. (b) If you use
-xtivreg2- with the bw() option to get kernel-robust SEs, you are
relying on large-T asymptotics. If your dataset is not very long in the
time-series dimension, the kernel-robust approach will not work very
well.
HTH,
Mark
> Thanks in advance!
> Murod
>
>
>
>
>
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