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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
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