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AVAR: Stata module to perform asymptotic covariance estimation for iid and non-iid data robust to heteroskedasticity, autocorrelation, 1- and 2-way clustering, and common cross-panel autocorrelated disturbances

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Mark E Schaffer

    (Heriot-Watt University)

Programming Language

Stata

Abstract

avar} is a routine for estimating S, the asymptotic variance of (1/N)*Z'e, where Z is an NxL matrix of L variables, e is an Nxp matrix of p variables, and N is the sample size. Typically, S would be used to form a sandwich-type estimate of the variance of an estimator, where S is the "filling" of the sandwich. avar can estimate VCEs for single and multiple equations that are robust to various violations of the assumption of iid data, including heteroskedasticity, autocorrelation, 1- and 2-way clustering, common cross-panel disturbances, etc. It supports time-series and panel data.

Suggested Citation

  • Christopher F Baum & Mark E Schaffer, 2013. "AVAR: Stata module to perform asymptotic covariance estimation for iid and non-iid data robust to heteroskedasticity, autocorrelation, 1- and 2-way clustering, and common cross-panel autocorrelated di," Statistical Software Components S457689, Boston College Department of Economics, revised 30 Jul 2015.
    • Handle: RePEc:boc:bocode:s457689
    Note: This module should be installed from within Stata by typing "ssc install avar". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/a/avar.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/avar9.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/avar.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/livreg2.mlib
    File Function: Mata object library
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_avar_1.0.06.do
    File Function: certification script
    Download Restriction: no
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