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st: RE: RE: xtivreg2, no constant in the outpuut?
Pierre,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Pierre Azoulay
> Sent: 01 July 2006 01:11
> To: [email protected]
> Subject: st: RE: xtivreg2, no constant in the outpuut?
>
> Thanks for your prompt response. Your point about the
> validity of the HAC-VCV standard errors in short panels is
> well taken. With fixed effects, could you use "robust
> cluster(id)" where id is the level at which the fixed effects
> are defined? I thought that for the standard errors to be
> consistent, the number of clusters and the number of
> observations could not increase at the same rate...
It's fine - there's no such problem with the cluster-robust estimator as
far as I know. All you need is for the clusters to go off to infinity.
In fact, Steve Stillman just pointed me to a new paper by Stock and
Watson showing that with fixed effects, both the standard
heteroskedastic-robust and HAC-robust covariance estimators are
inconsistent for T fixed and >2, but the cluster-robust cov estimator
does not suffer from this problem. One of their conclusions is that if
serial correlation is expected, cluster-robust is the best choice.
Paper details:
Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data
Regression
James H. Stock, Mark W. Watson
NBER Technical Working Paper #0323
http://papers.nber.org/papers/T0323
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
>
> Regards,
>
> Pierre
>
>
> --------------------------------------------------------------
> --------------------
> Pierre Azoulay
> Associate Professor of Management
> Columbia University Phone: (212) 854-9684
> Graduate School of Business Fax: Don't send any
> 3022 Broadway, Uris Hall 704
> New York, NY 10023
> http://www.columbia.edu/~pa2009/
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