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Extending Stata's capabilities for asymptotic covariance matrix estimation

Listed author(s):
  • Christopher F Baum


    (Boston College
    DIW Berlin)

  • Mark E Schaffer

    (Heriot-Watt University)

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.

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Paper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2014 with number 16.

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Date of creation: 28 Sep 2014
Handle: RePEc:boc:usug14:16
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