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

[Nick Cox <njcoxstata@gmail.com>]

If you look again at the description of -ivreg2- given by

. ssc desc ivreg2

you will see that this is all explained [my spacing]:

"This is version 3.1.04 of ivreg2,  updated from that published in
Stata Journal, 5(4), requiring
      Stata 10.1 or better.

Stata 9.2 users may use ivreg29 (q.v.).

Stata 8 users may use ivreg28 (q.v.)

Stata 7 users may use the Stata Journal version of ivreg2, accessible
via net search
      ivreg2."

Thus, you need -ivreg29-.

Nick


On Fri, May 4, 2012 at 11:14 AM, christina sakali
<christina.sakali@googlemail.com> wrote:
> 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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