IDEAS home Printed from https://ideas.repec.org/p/boc/usug14/16.html
   My bibliography  Save this paper

Extending Stata's capabilities for asymptotic covariance matrix estimation

Author

Listed:
  • Christopher F Baum

    (Boston College
    DIW Berlin)

  • Mark E Schaffer

    (Heriot-Watt University)

Abstract

The avar routine (Baum and Schaffer, SSC) constructs the "filling" for a number of flavors of "sandwich" covariance matrix estimators, including HAC, one- and two-way clustering, common cross-panel autocorrelated errors, etc. We show how avar can be used as a building block to construct VCEs that go beyond the Eicker-Huber-White and one-way cluster-robust VCEs provided by Stata's official _robust command. We also show how avar can be used to provide multiple-equation VCE estimates in a wider variety of circumstances than Stata's official suest command.

Suggested Citation

  • Christopher F Baum & Mark E Schaffer, 2014. "Extending Stata's capabilities for asymptotic covariance matrix estimation," United Kingdom Stata Users' Group Meetings 2014 16, Stata Users Group.
    • Handle: RePEc:boc:usug14:16
    as

    Download full text from publisher

    File URL: http://repec.org/usug2014/baumschaffer_uksug14.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:usug14:16. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/stataea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.