david, are you saying that xtgee using the robust option is similar
to a hausman taylor iv estimation where one can use random effects
despite x_it correlated with u_it in order to get estimates of time
invariant variables?
axel
On Fri, 16 Aug 2002 10:13:04 -0500, "David M. Drukker, StataCorp."
<[email protected]> wrote:
> Bo Cutter <[email protected]> asked:
>
> > I am using the xtgee command to get robust standard error
> estimates for a
> > random-effects panel data model. (i.e. xtgee...,
> family(gauss) link(ident)
> > robust). p.446 of manual S-Z (last sentence, first
> paragaph) has a sentence
> > that implies these robust standard errors are correct even
> if the
> > panel-specific effect is correlated with the regressors.
> Can anyone tell me
> > if I am interpreting this statement correctly ? And do you
> know what the
> > reference behind this statement is ?
>
> And Bobby <[email protected]>, correctly noted that :
>
> > Yes, this statement is true. In general, the robust
> standard errors
> > are a true indicator of the sample-to-sample variability of
> your
> > parameter estimates even in mis-specified models.
>
> > As for a reference, try
>
> > Domowitz & White (1982). Misspecified models with dependent
> > observations. Journal of Econometrics, 20, 35-58.
>
> But it should be clarified that in this case -xtgee , robust-
> is providing
> consistent estimates of the standard errors of estimates of
> population
> parameters that are probably NOT what Bo wants from his model.
>
> Let me explain via an example. Consider
>
> y_it = B x_it + u_i + e_it
>
> where u_i is i.i.d over the panels and e_it is i.i.d over all
> the
> ovbservations. If x_it is correlated with the unobserved u_i
> then two
> things are true:
>
> i) xtgee will not provide consistent estimates of the
> parameter B for
> the model that assumes x_it is uncorrelated with u_i.
> In particular, if x_it is correlated with u_i, the
> estimate that
> -xtgee- produces for B cannot be interpreted as the
> marginal effect
> of x_it on y_it.
>
> ii) But there exists a true value of B in the mis-specified
> model in which x_it is correlated with u_i. The robust
> option
> provides consistent estimates of the standard
> errors of the estimate B in the mis-specified model.
>
>
> --David
> [email protected]
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
________________________________________________________________
DISCLAIMER:
This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed. If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail. In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail. Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail. Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
