When I followed up on Kit's -xtivreg2_ suggestion, I found the following in the help for ivreg2: Tue, 26 Oct 2010 13:24:06 +0000 Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence. * http://www.stata.com/support/statalist/faq one dimension such as firm or time). Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. How to implement heteroscedasticity-robust standard errors on regressions in Stata using the robust option and how to calculate them manually. 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 two) as the number of entities n increases. Login or. 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. Review of Economics & Statistics, 80(4), 549-560. Daniel Hoechle. The standard errors reported in the table of parameter estimates are the square root of the variances (diagonal elements) of the VCE. Daniel Hoechle Department of Finance University of Basel Basel, Switzerland daniel.hoechle@unibas.ch: Abstract. Having said that, you are asking a theoretical question.). Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. Here I'm specifically trying to figure out how to obtain the robust standard errors (shown in square brackets) in column (2). Also see Gow, I., G. Ormazabal, and D. Taylor. I'm trying to figure out the commands necessary to replicate the following table in Stata. "Two-way cluster-robust" means the SEs and statistics are robust to 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. "statalist@hsphsun2.harvard.edu"

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