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st: RE: xtivreg2, robust error
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: xtivreg2, robust error
Date
Mon, 2 Jul 2012 15:56:03 +0100
Ari,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Ari Dothan
> Sent: 02 July 2012 11:47
> To: [email protected]
> Subject: st: xtivreg2, robust error
>
> Hi all,
> I use xtivreg2 regressions specifying "fe gmm2s bw(3)".
This means "robust to autocorrelation but NOT heteroskedasticity",
whereas
"fe gmm2s bw(3) robust"
means "robust to autocorrelation AND heteroskedasticity".
> In some cases I get more efficient results (smaller standard
> error) when specifying "fe gmm2s bw(3) robust" than without
> the "robust"
> requirement.
> How could this be explained?
You can't safely interpret the differences in this way. The theoretical
results for efficiency of the 2-step GMM estimator are asymptotic, i.e.,
as the sample size goes to infinity. What happens in the real world,
with finite samples, can be different.
HTH,
Mark
> Thanking you
>
> --
> Ari Dothan
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