XTGLSR: Stata module to calculate robust, or cluster-robust variance after xtgls

Gueorgui Kolev

Statistical Software Components from Boston College Department of Economics

Abstract: Stata's [XT] xtgls fits panel-data models by using GLS estimates panel data models by generalised least squares. However xtgls cannot estimate robust or cluster-robust variance matrix and standard errors for the parameter estimates. Gueorgui I. Kolev (2014) "Robust variance estimation in panel data generalized least squares regression" shows the relevant formulae for robust and cluster-robust variance and standard errors, and these formulae are automatically implemented by the post-estimation command xtglsr.

Language: Stata
Requires: Stata version 11
Keywords: panel data; GLS; robust; cluster-robust (search for similar items in EconPapers)
Date: 2021-04-15
Note: This module should be installed from within Stata by typing "ssc install xtglsr". 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.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtglsr.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtglsr.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/k/Kolev_2014_xtgls_robust.pdf documentation (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:bocode:s458935

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().