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st: RE: Heteroscedasticity-robust SEs in fixed effects panel.


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Heteroscedasticity-robust SEs in fixed effects panel.
Date   Fri, 4 May 2012 01:26:26 +0100

Christina,

-xtivreg2- has an undocumented option -sw- that will cause it to report
Stock-Watson heteroskedasticity-robust SEs for the fixed effects
estimator as described in their 2008 paper.  It's undocumented because I
haven't (yet) found a published or other set of results that would let
me confirm the coding with a replication.  I _think_ it's right ... but
caveat emptor.

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> christina sakali
> Sent: 04 May 2012 00:45
> To: statalist
> Subject: st: Heteroscedasticity-robust SEs in fixed effects panel.
> 
> Dear Statalist users,
> 
> I am estimating a fixed effects panel regression with only 70 
> observations (14 cross-sections, 5 years).
> 
> I am wondering if anyone can suggest ways to obtain 
> heteroscedasticity-robust S.E.s apart from the standard - fe 
> robust - approach.
> 
> The reason I am asking is that I am aware of Stock & Watson's 
> (2008) findings about the bias in the standard het-robust SEs 
> (Huber-White SEs), especially in the case of small T large N samples.
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> 


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