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From | "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: Updates to -ivreg2- and -ranktest- |
Date | Thu, 6 Oct 2011 23:10:41 +0100 |
Thanks as usual to Kit Baum, updates to -ivreg2- and -ranktest- are now available via ssc in the usual way. Along with some minor bug fixes, the main changes are two new options, dkraay and kiefer. Both apply to panel data and hence are relevant for users of -xtivreg2- as well. dkraay(#) requests Driscoll-Kraay (1998) standard errors with a bandwidth of #. The VCV will be robust to autocorrelated disturbances that are common to panel units, i.e., spatially dependent panel data. In fact, DK SEs were available in previous versions of -ivreg2-. The option dkraay(#) is equivalent to using the options cluster(id) and bw(#) with tsset data where id is the panel identifier. kiefer requests Kiefer (1980) standard errors. The VCV will be robust to arbitrary intra-group autocorrelation (but not heteroskedasticity, unlike the cluster-robust VCV) In fact, Kiefer SEs were available in previous versions of -ivreg2-. The option kiefer is equivalent to using the options kernel(tru) and bw(#) with tsset data, where # is the full length of the panel. Further details and discussion can be found in the -ivreg2- help file. --Mark References: Driscoll, J.C. and Kraay, A. 1998. Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data. Review of Economics and Statistics. Vol. 80, No. 4, pp. 549-560. Kiefer, N.M. 1980. Estimation of Fixed Effect Models for Time Series of Cross-Sections with Arbitrary Intertemporal Covariance. Journal of Econometrics, Vol. 14, No. 2, pp. 195-202. -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. Heriot-Watt University is the Sunday Times Scottish University of the Year 2011-2012 * * 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/