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Re: st: RE: Heteroscedasticity-robust SEs in fixed effects panel.
From
christina sakali <[email protected]>
To
[email protected]
Subject
Re: st: RE: Heteroscedasticity-robust SEs in fixed effects panel.
Date
Fri, 4 May 2012 11:50:51 +0300
Mark,
The problem is I am using Stata 9 and as far as I know the choice you
describe can only be found in newer versions of Stata. Is this right?
But thanks anyway, knowing there are alternatives is still a big help.
On 4 May 2012 03:26, Schaffer, Mark E <[email protected]> wrote:
> 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: [email protected]
>> [mailto:[email protected]] 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.
>> *
>> * 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/
>>
>
>
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