Re: st: RE: xtgls, p(h) versus xtreg, re robust cluster()

[Vincenzo Lombardo <vl30@sussex.ac.uk>]

thanks mark,
i gave a look at the FAQ's, but they refer to the difference between xtgls  
and OLS with robust cluster() option...
i had a doubt related to the difference between xtgls, p(h) and Random  
effect estimator with the robust cluster option...
is there any difference? that is..
is there any difference between running xtgls, p(h) and xtreg, re robust  
cluster()??
thanks a lot...

In data Wed, 09 Aug 2006 12:04:16 +0100, Schaffer, Mark E  
<M.E.Schaffer@hw.ac.uk> ha scritto:


> Vincenzo,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> > Vincenzo Lombardo
> > Sent: Wednesday, August 09, 2006 10:47 AM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: xtgls, p(h) versus xtreg, re robust cluster()
> >
> > dear all,
> > i am using panel data; i have a question on gls and robust
> > command. do you know what is the difference between using
> > xtgls, p(hetero), that is groupwise heteroskedasticity, and
> > using xtreg, re robust with or without the cluster() option?
> You might want to check the FAQs.  The following one is helpful and I
> think indirectly answers your question:
>
> http://stata.co.uk/support/faqs/stat/xtgls_rob.html
>
> --Mark
>
> 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
> http://www.sml.hw.ac.uk/cert
>
> > In both case, the estimator used should be the GLS, but I do
> > not understand what is the difference between using the two
> > different commands (xtgls, p(h) or xtreg, re robust).
> > the coefficients given by the two approaches, indeed, results
> > different, sometimes only slightly, but most of the time the
> > difference quite substantial.
> > thanks a lot..
> >
> > --
> > Vincenzo Lombardo
> > University of Sussex, Dept. of Economics University of Napoli
> > Parthenope, DSE
> > 12 Canfield Road
> > BN2 4DN Brighton - UK
> > tel. (UK):++44(0)7765991711
> > tel. (ITALY):++393284164302
> > *
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--
Vincenzo Lombardo
University of Sussex, Dept. of Economics
University of Napoli Parthenope, DSE
12 Canfield Road
BN2 4DN Brighton - UK
tel. (UK):++44(0)7765991711
tel. (ITALY):++393284164302
*
*   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/