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

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

Thank you both for the suggestions. From what I understand I 'll have
to go for one of the two options, either use the standard het-robust
SEs, being aware of the limitations for my sample, or try to find
access to a newer version of stata and use the -sw-option of
-xtivreg2-. If there are any other suggestions on how to deal with
group-wise heteroscedasticity in panels, they would be appreciated.


On 4 May 2012 13:46, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> Unfortunately, -ivreg29- doesn't support the undocumented -sw- option.
>
> --Mark
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
>> Sent: 04 May 2012 11:20
>> To: statalist@hsphsun2.harvard.edu
>> Subject: Re: st: RE: Heteroscedasticity-robust SEs in fixed
>> effects panel.
>>
>> 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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>
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