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| From | christina sakali <christina.sakali@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| 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 <M.E.Schaffer@hw.ac.uk> 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: 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. >> * >> * 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/ >> > > > -- > Heriot-Watt University is the Sunday Times > Scottish University of the Year 2011-2012 > > We invite research leaders and ambitious early career > researchers to join us in leading and driving research > in key inter-disciplinary themes. Please see > > http://www.hw.ac.uk/researchleaders > > for further information and how to apply. > > Heriot-Watt University is a Scottish charity > registered under charity number SC000278. > > > * > * 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/ * * 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/