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Re: st: RE: using xtivreg2 for FE


From   Murod Aliyev <ma.statalist@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: using xtivreg2 for FE
Date   Mon, 21 Feb 2011 11:15:04 +0000 (GMT)

Dear Mark,
Thanks very much for your reply!
Time span is  9 years in average (8-11 years unbalances). Is it too bad? Number 
fo firms is only 7 (so total N of obs =70).
I tried bw(), bw(2), bw(auto). Results vary, but not to a large extent.
Thanks again!
Murod





----- Original Message ----
From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To: statalist@hsphsun2.harvard.edu
Sent: Sun, 20 February, 2011 19:20:54
Subject: st: RE: using xtivreg2 for FE

Murod,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Murod Aliyev
> Sent: 19 February 2011 14:04
> To: statalist@hsphsun2.harvard.edu
> 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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