--- Grant Peter Kabango <[email protected]> wrote:
> I am estimating my panel data using OLS, and due to presence of
> heterogeneity across my data I need to use heterskedasticity-
> consistent standard errors to do hypothesis testing.
> Can you please advise what stata command I can therefore use to
> obtain heteroskedasticity-consistent standard errors?
First of all: don't use OLS (-regress- in Stata) for panel data; use
-xtreg- instead. You can get heteroskedasticity-consistent standard
errors by adding the -vce(robust)- option to your -xtreg- model.
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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