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From | May Ster <mayfrank@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Xtreg, fe robust cluster() and Xtregar |
Date | Thu, 14 Apr 2011 05:16:54 +0100 |
Dear all, I wonder which is better between Xtregar, fe robust cluster() and Xtregar under FE model if one finds autocorrelation or even assumes they exist. I tried running regressions and found substantive differences provided by these two estimators. I thought if autocorrelation exists, it shouldn't change the coefficient that largely i.e. only the standard errors are effects? And, since -Xtregar also works under the FE , it then should provide close if not similar estimates to the -Xtreg, fe robust cluster()? I don't understand why the estimates provided are different largely and there are even the changes in signs. I will be very grateful if anyone could help with this. Thank you very much in advance, May * * 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/