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RE: 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   RE: st: RE: Heteroscedasticity-robust SEs in fixed effects panel.
Date   Fri, 4 May 2012 11:46:12 +0100

Unfortunately, -ivreg29- doesn't support the undocumented -sw- option.

--Mark 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
> Sent: 04 May 2012 11:20
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: Heteroscedasticity-robust SEs in fixed 
> effects panel.
> 
> If you look again at the description of -ivreg2- given by
> 
> . ssc desc ivreg2
> 
> you will see that this is all explained [my spacing]:
> 
> "This is version 3.1.04 of ivreg2,  updated from that 
> published in Stata Journal, 5(4), requiring
>       Stata 10.1 or better.
> 
> Stata 9.2 users may use ivreg29 (q.v.).
> 
> Stata 8 users may use ivreg28 (q.v.)
> 
> Stata 7 users may use the Stata Journal version of ivreg2, 
> accessible via net search
>       ivreg2."
> 
> Thus, you need -ivreg29-.
> 
> Nick
> 
> 
> On Fri, May 4, 2012 at 11:14 AM, christina sakali 
> <christina.sakali@googlemail.com> wrote:
> > I have installed both -ivreg2- and -xtivreg2-, using -ssc install-, 
> > however when I use the -xtivreg2 ...., fe- command I get 
> the following
> > message:
> >
> > this is version 9.2 of Stata; it cannot run version 10.1 programs
> >     You can purchase the latest version of Stata by visiting 
> > http://www.stata.com.
> > Error: must have ranktest version 01.1.03 or greater installed To 
> > install, from within Stata type r(601);
> >
> > Is it possible that I am not using or have not installed 
> the command 
> > right or is this because of the version of stata that I am using?
> >
> >
> > On 4 May 2012 12:05, Nick Cox <njcoxstata@gmail.com> wrote:
> >> -xtivreg2- is program from SSC. It requires only Stata 8.2. What 
> >> leads you to suppose otherwise?
> >>
> >> Nick
> >>
> >> On Fri, May 4, 2012 at 9:50 AM, christina sakali 
> >> <christina.sakali@googlemail.com> wrote:
> >>> 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.
> >>
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