Re: st: white cross-section standard errors

[Mohammad Reza Farzanegan <Mohammad_Reza.Farzanegan@mailbox.tu-dresden.de>]

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)?
>
> *
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--
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.de
Web (ZEW):  
http://www.zew.de/en/mitarbeiter/mitarbeiter.php3?action=mita&kurz=mfn




*
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