A robust regression estimator for pairwise-difference transformed data: xtrobreg

Pairwise comparison-based estimators are commonly used in statistics. In the context of panel data fixed-effects estimations, Aquaro and Cizek (2013) have shown that a pairwise-differences based estimator is equivalent to the well-known within estimator. Relying on this result, they propose to "robustify" the F.E. estimator by applying a robust regression estimator to pairwise-difference transformed data. In collaboration with Ben Jann, we made available the xtrobreg command that implements this estimator in Stata for both balanced and unbalanced panels. As will be shown in the presentation, the flexibility of the xtrobreg command allows it to be used well beyond the context of panel robust regressions.