Steven Archambault <[email protected]> and Mark E Schaffer
<[email protected]> have asked whether -xtreg .., re vce(robust)-
changed its meaning between Stata 10 and Stata 11, and if so why the change
was made.
The answer is yes. We made the change because we found that the new method
is robust to a broader class of deviations from identically distributed
errors.
For future reference, I recommend typing
. help whatsnew10to11
as a first check on whether and why there is a difference between Stata 10
and Stata 11.
For the case at hand, the help file for whatsnew10to11 says
4. Concerning existing estimation command xtreg:
a. Specifying -xtreg, re vce(robust)- now means the same as
-xtreg, re vce(cluster panelvar). The new interpretation is
robust to a broader class of deviations. The old interpretation
is available under version control.
b. Similarly, specifying -xtreg, fe vce(robust)- now means the same
as -xtreg, fe vce(cluster panelvar)- in light of the new results
by Stock and Watson (2008).
c. xtreg now allows the in range qualifier.
David
[email protected]
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