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
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.
|Requires:||Stata version 11.2 (version 9.2 for avar9)|
|Date of creation:||01 Sep 2013|
|Date of revision:||30 Jul 2015|
|Note:||This module should be installed from within Stata by typing "ssc install avar". Windows users should not attempt to download these files with a web browser.|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
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