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VCE_MCOV: Stata module to compute the Leave-Cluster-Out-Crossfit (LCOC) variance estimates for user-chosen coefficients in a linear regression model

Author

Listed:
  • Stanislav Anatolyev

    (CERGE-EI, Prague)

  • Cheuk Fai Ng

    (University of Cambridge)

Programming Language

Stata

Abstract

vce_mcov is an eclass command that can be used after running reg. It replaces the entries of the variance matrix (stored in e(V)) relating to user-chosen parameter(s) of inferential interest with the Leave-Cluster-Out-Crossfit (LCOC) estimates (see Anatolyev and Ng, 2024). All postestimation commands will work as usual.

Suggested Citation

  • Stanislav Anatolyev & Cheuk Fai Ng, 2024. "VCE_MCOV: Stata module to compute the Leave-Cluster-Out-Crossfit (LCOC) variance estimates for user-chosen coefficients in a linear regression model," Statistical Software Components S459293, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459293
    Note: This module should be installed from within Stata by typing "ssc install vce_mcov". 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/v/vce_mcov.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/v/vce_mcov.sthlp
    File Function: help file
    Download Restriction: no
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