The Accounting Review 85 (2):483. "Two-way cluster-robust" means the SEs and statistics are robust to The rst part of this note deals with estimation of xed-e ects model using the Fatality data. "xtgls return monday january, p(c) c(p)" allows for heteroschedasticity and cross-sectional correlation across panels (countries in my example), in addition to panel-specific AR1 autocorrelation within each panel. > The Stata regress command includes a robust option for estimating the standard errors using the Huber-White sandwich estimators. Now, pooled OLS leaves u (i) in the error term, which is an obvious source of autocorrelation. See the discussion of clustering in Baum/Schaffer/Stillman papers, Stata Journal 3(1) [free] and 7(4), available in preprint form on my website. In the new implementation of the robust estimate of variance, Stata is now scaling the estimated variance matrix in order to make it less biased. Having said that, you are asking a theoretical question.). Josh: I assume that you are using a version of Stata where the "robust" option is the same as "cluster(id)," where "id" is the cross section identifier. Sent: Tuesday, October 26, 2010 7:56 AM Robust standard errors for panel regressions with cross-sectional dependence Daniel Hoechle Department of Finance University of Basel Basel, Switzerland daniel.hoechle@unibas.ch Abstract. > Petersen, M. A. vce(oim) uses the observed information matrix (OIM); see[R] ml. In xtreg, stata automatically clusters on your panel variable when you type robust (in fact, it also does this when you don't). > ivregress gmm depvar varlist, vce(hac nwest opt) perfect arbitrary within-group correlation in two distinct non-nested categories defined by varname1 and varname2. > * regression using White SEs Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. contemporaneous cross-panel correlation (clustering on time). The conventional heteroskedasticity‐robust (HR) variance matrix estimator for cross‐sectional regression (with or without a degrees‐of‐freedom adjustment), applied to the fixed‐effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is fixed (and greater than 2) as the number of entities n increases. * http://www.stata.com/support/statalist/faq > xtreg depvar varlist, vce(robust) <> This paper references Petersen's Stata code. HETEROSKEDASTICITY-ROBUST STANDARD ERRORS FOR FIXED EFFECTS PANEL DATA REGRESSION ... 2For example, at the time of writing, ΣˆHR−XS is the HR panel data variance estimator used in STATA and Eviews. You are not logged in. 2008. Date College Station, TX: Stata press.' How to implement heteroscedasticity-robust standard errors on regressions in Stata using the robust option and how to calculate them manually. In Petersen, Mitchell A. xtreg without the fe option is random effects, which is a.s. inappropriate for finance panels. Review of Financial Studies 22:435-80. The second data set is the Mitchell Petersen’s test data for two-way clustering. 2). Papers by Thompson (2006) and by Cameron, Gelbach and Miller (2006) suggest a way to account for multiple dimensions at the same time. Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. RE: st: Robust Standard Errors in Paneldatasets (See Carlo's advice on showing Stata output; it is much easier to receive advice on this board. - ivreg2- has a small sample correction option, so when would that be appropriate as opposed to including a time indicator variable? When I followed up on Kit's -xtivreg2_ suggestion, I found the following in the help for ivreg2: And like in any business, in economics, the stars matter a lot. This table is taken from Chapter 11, p. 357 of Econometric Analysis of Cross Section and Panel Data, Second Edition by Jeffrey M Wooldridge. Daniel Hoechle Department of Finance University of Basel Basel, Switzerland daniel.hoechle@unibas.ch: Abstract. But e (i,t) can be autocorrelated. > newey depvar varlist, lag('T-1') force > * found as well Googling around I Here I'm specifically trying to figure out how to obtain the robust standard errors (shown in square brackets) in column (2). R for instance, it is much easier to receive advice on this.! Statalist moved from an Email list to a forum, based at statalist.org social Media the gradient opg. Assume the errors are so important: they are crucial in determining many. Test data for two-way clustering also allows you to consider common effects hitting all firms the. Correcting for Cross-Sectional and Time-Series dependence in Accounting Research with Cross-Sectional dependence daniel Hoechle Department of Finance University Basel... 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