Jeff, Steve et al.,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Jeff Pitblado, StataCorp LP
> Sent: 18 August 2009 22:53
> To: [email protected]
> Subject: Re: st: Stata 11 Random Effects--Std. Errors
>
> Steven Archambault <[email protected]> is getting
> different robust standard errors in Stata 11 than in Stata 10:
>
> > I am absolutely getting different Robust std. errors in the
> results of
> > my newly downloaded Stata 11 than my old Stata 10. This
> occurs only
> > for Robust Std. Errors in a Random Effects regression. I
> loaded both
> > versions of the program and ran the same regression side by
> side. This
> > has an impact on my hausman test and the xtoverid test. I
> cannot seem
> > to find out what the difference in calculation methods are
> between 10
> > and 11.
> >
> > Any insight would be helpful.
>
> Steven hasn't shown us what estimation command he is using to
> fit his random effects regression, but I suspect he is using
> -ivreg2- or -xtivreg2- given that he also directly contacted
> Mark Schaffer in his post to Statalist.
I think Steve is using official -xtreg- with random effects plus
-robust-.
The SEs under Stata 10 are different from those under Stata 11. I think
this is because under Stata 10, -re- plus -robust- did not imply
-cluster-, but under Stata 11, -re- plus -robust- automatically means
-cluster-.
The manual is kind of opaque on why this change in the behaviour of
-xtreg- has been introduced, so if Jeff or anyone else can provide more
details, I and I'm sure others would be very interested.
Cheers,
Mark
>
> Last Friday there was an ado-file update for Stata 11 that
> fixed a problem with weights and the -_robust- command.
>
> Steven should type the following in Stata
>
> . update query
>
> then follow the recommendation, which will be to
>
> . update all
>
> if his Stata isn't already fully up-to-date.
>
> This fix for -_robust- should resolve the differences that
> Steven is currently observing.
>
> Let me re-iterate from my original post, the bug in -_robust-
> (fixed in last Friday's ado-file update) affeted only
> user-written commands that used
> -_robust- directly; it did not affect any of Stata's official
> estimation commands or any user-written estimators that used
> -ml- or Mata functions
> -optimize()- or -moptimize()-.
>
> Steven mentioned that he is not using weights, so I will be
> contacting him directly to get to the bottom of this.
>
> --Jeff
> [email protected]
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
