Robin,
Date sent: Tue, 19 Apr 2005 15:10:59 -0500
To: [email protected]
From: Robin Gottfried <[email protected]>
Subject: st: robust estimators and auotcorrelation
Send reply to: [email protected]
> I am using xtgee, robust, to estimate a probit equation for panel
> data. xtserial indicates I have autocorrelation in the data.
>
> Does robust estimation correct for autocorrelation
No. In Stata-ese, "robust" = "robust to arbitrary
heteroskedasticity".
... but if you use "cluster", then your standard errors will be
robust to arbitrary autocorrelation and heteroskedasticity.
In both cases, only the SEs are corrected; the coefficients are the
same with or without these options.
HTH.
--Mark
> or should I also
> use the Arima correction along with the robust estimation?
> *
> * 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/
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert
*
* 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/
