Re: st: RE: Heteroscedasticity-robust SEs in fixed effects panel.

[christina sakali <christina.sakali@googlemail.com>]

I have installed both -ivreg2- and -xtivreg2-, using -ssc install-,
however when I use the -xtivreg2 ...., fe- command I get the following
message:

this is version 9.2 of Stata; it cannot run version 10.1 programs
     You can purchase the latest version of Stata by visiting
http://www.stata.com.
Error: must have ranktest version 01.1.03 or greater installed
To install, from within Stata type r(601);

Is it possible that I am not using or have not installed the command
right or is this because of the version of stata that I am using?


On 4 May 2012 12:05, Nick Cox <njcoxstata@gmail.com> wrote:
> -xtivreg2- is program from SSC. It requires only Stata
> 8.2. What leads you to suppose otherwise?
>
> Nick
>
> On Fri, May 4, 2012 at 9:50 AM, christina sakali
> <christina.sakali@googlemail.com> wrote:
>> Mark,
>>
>> The problem is I am using Stata 9 and as far as I know the choice you
>> describe can only be found in newer versions of Stata. Is this right?
>> But thanks anyway, knowing there are alternatives is still a big help.
>>
>> On 4 May 2012 03:26, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
>>> Christina,
>>>
>>> -xtivreg2- has an undocumented option -sw- that will cause it to report
>>> Stock-Watson heteroskedasticity-robust SEs for the fixed effects
>>> estimator as described in their 2008 paper.  It's undocumented because I
>>> haven't (yet) found a published or other set of results that would let
>>> me confirm the coding with a replication.  I _think_ it's right ... but
>>> caveat emptor.
>>>
>>> --Mark
>>>
>>>> -----Original Message-----
>>>> From: owner-statalist@hsphsun2.harvard.edu
>>>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
>>>> christina sakali
>>>> Sent: 04 May 2012 00:45
>>>> To: statalist
>>>> Subject: st: Heteroscedasticity-robust SEs in fixed effects panel.
>>>>
>>>> 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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