AVAR: Stata module to perform asymptotic covariance estimation for iid and non-iid data robust to heteroskedasticity, autocorrelation, 1- and 2-way clustering, and common cross-panel autocorrelated disturbances

Christopher Baum and Mark Schaffer ()

Statistical Software Components from Boston College Department of Economics

Abstract: avar} is a routine for estimating S, the asymptotic variance of (1/N)*Z'e, where Z is an NxL matrix of L variables, e is an Nxp matrix of p variables, and N is the sample size. Typically, S would be used to form a sandwich-type estimate of the variance of an estimator, where S is the "filling" of the sandwich. avar can estimate VCEs for single and multiple equations that are robust to various violations of the assumption of iid data, including heteroskedasticity, autocorrelation, 1- and 2-way clustering, common cross-panel disturbances, etc. It supports time-series and panel data.

Language: Stata
Requires: Stata version 11.2 (version 9.2 for avar9)
Keywords: asymptotic variance; VCE; heteroskedasticity; autocorrelation; cluster-robust; cross-equation correlation (search for similar items in EconPapers)
Date: 2013-09-01, Revised 2015-07-30
Note: This module should be installed from within Stata by typing "ssc install avar". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/avar.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/avar9.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/avar.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/livreg2.mlib Mata object library (application/x-stata)
http://fmwww.bc.edu/repec/bocode/c/cs_avar_1.0.06.do certification script (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s457689

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