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From | Mohammad Reza Farzanegan <Mohammad_Reza.Farzanegan@mailbox.tu-dresden.de> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: white cross-section standard errors |
Date | Tue, 08 Nov 2011 10:08:48 +0100 |
Thank you Scott very much.
A Google search of "white diagonal standard errors" brought up this page: http://www.econ.canterbury.ac.nz/personal_pages/bob_reed/Courses/ECON_324/Week7/Assignment_Week7.pdf " Another difference is that Stata does not have as many options for specifying the structure of the error variance-covariance matrix as Eview does. When estimating OLS, there are only three options: (i) conventional OLS standard errors, (ii) “robust” standard errors -- which is called “White diagonal” standard errors in Eviews; and (iii) “Clustered robust” standard errors -- which is very close to what EViews calls either “White period” or “White cross-section” standard errors, depending on whether the “cluster”variable is the cross-sectional (e.g. firm) or time series (e.g. year) variable"Scott On Mon, Nov 7, 2011 at 1:20 AM, Mohammad Reza Farzanegan <Mohammad_Reza.Farzanegan@mailbox.tu-dresden.de> wrote:Thank you for your suggestions. It is however still not clear to me which option(s) in a regression exactly lead to for example to "white cross section" or "white period", "white diagonal" standard errors in STATA.Mohammad Reza Farzanegan <Mohammad_Reza.Farzanegan@mailbox.tu-dresden.de>: There are many varieties of robust standard errors in Stata; see the manual entry on -regress- for a few or see e.g. help xtpcse help xtgee##correlation ssc install ivreg2 help ivreg2 On Sun, Nov 6, 2011 at 7:54 AM, Mohammad Reza Farzanegan <Mohammad_Reza.Farzanegan@mailbox.tu-dresden.de> wrote:Dear statalist participants, As you may know, EViews has 7 options to calculate the "robust" standard error, while as far as I know, in STATA one can only use the "robust" option. Now my question: Do you know a do-file in STATA to calculate white cross-section standard errors ( or the other options such as white period, white diagonal and so on)?* * 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/
-- Dr.Mohammad R. Farzanegan Humboldt Post-Doctoral Research Fellow (2010-2012) Dresden University of Technology & ZEW Mannheim Tel: +49 (351) 463-32895 Fax: + 49 (351) 463-37052 Email (ZEW): farzanegan@zew.de Email (TUD): Mohammad_Reza.Farzanegan@mailbox.tu-dresden.deWeb (ZEW): http://www.zew.de/en/mitarbeiter/mitarbeiter.php3?action=mita&kurz=mfn
* * 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/