Thanks, David. Do you have a suggested reading for more details on 4(a)
corresponding to Stock and Watson (2008) for 4(b)?
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> David M. Drukker
> Sent: Wednesday, August 19, 2009 2:59 PM
> To: [email protected]
> Subject: Re: st: Stata 11 Random Effects--Std. Errors
>
> 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]
> *
> * 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/
>
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