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

Vincenzo Verardi and Ben Jann
Additional contact information
Vincenzo Verardi: Université Libre de Bruxelles

London Stata Conference 2021 from Stata Users Group

Abstract: 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.

Date: 2021-09-12
New Economics Papers: this item is included in nep-isf
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/usug2021/usug21_verardi.pdf presentation materials (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:usug21:17

Access Statistics for this paper

More papers in London Stata Conference 2021 from Stata Users Group Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().