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st: Heteroscedasticity-robust SEs in fixed effects panel.
From
christina sakali <[email protected]>
To
statalist <[email protected]>
Subject
st: Heteroscedasticity-robust SEs in fixed effects panel.
Date
Fri, 4 May 2012 02:45:28 +0300
Dear Statalist users,
I am estimating a fixed effects panel regression with only 70
observations (14 cross-sections, 5 years).
I am wondering if anyone can suggest ways to obtain
heteroscedasticity-robust S.E.s apart from the standard - fe robust -
approach.
The reason I am asking is that I am aware of Stock & Watson's (2008)
findings about the bias in the standard het-robust SEs (Huber-White
SEs), especially in the case of small T large N samples.
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