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st: df adjustment for robust s.e. with xtreg, fe
From
Volker Ludwig <[email protected]>
To
[email protected]
Subject
st: df adjustment for robust s.e. with xtreg, fe
Date
Sat, 13 Mar 2010 15:15:46 +0100
Dear all,
does anybody know which df adjustment Stata 11 uses for computing robust
standard errors?
I thought, it should be NT / (NT-N-K). However, the s.e. turn out to be
larger than the ones provided by xtreg ..., fe vce(cluster id).
Obviously, Stata does not make the adjustment for the number of groups.
So, my next guess was NT / (NT-K) which gave me "nearly identical" results.
(My s.e. are then slightly smaller than Stata's, deviating at the 6th
decimal point.)
Precision should not be the problem since I used mata.
Does anyone have a better explanation?
The manual is silent on this issue as far as I see.
Thanks
Volker
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