Also, you can transform your data with -xtdata- command, and then
regress would estimate the (almost) appropriate FE or RE model. As far
as I can recall, "almost" has to do with degrees of freedom. And here
you have the luxury of having -robust- and -cluster-. I would
recommend using the latter, with clustering on individuals, or
whatever meaning your panels have.
Stas
On Wed, 08 Dec 2004 12:48:52 -0000, Mark Schaffer <[email protected]> wrote:
> > I have an urgent question:
> >
> > I use Stata for some panel data regression. I couldn't find yet a
> > command for the fixed effects and the random effects approach, both
> > WITH ROBUST STANDARD ERRORS. The command "robust" that you can use for
> > simple regressions and for the population-average approach in panel
> > data regressions does not work.
> >
> > Can anybody tell me the right command for this kind of panel data
> > regressions?
>
> -areg- will do fixed effects estimates with robust standard errors.
--
Stas Kolenikov
http://stas.kolenikov.name
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