Extending Stata's capabilities for asymptotic covariance matrix estimation

Christopher Baum and Mark Schaffer ()

United Kingdom Stata Users' Group Meetings 2014 from Stata Users Group

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.

Date: 2014-09-28
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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug14:16

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