EDFREG: Stata module to make corrections for statistical inference with robust or clustered covariance matrices

Alwyn Young ()
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Alwyn Young: London School of Economics

Statistical Software Components from Boston College Department of Economics

Abstract: edfreg computes bias adjusted standard errors and effective degrees of freedom corrections for robust and clustered covariance matrices. These covariance estimates may place weight on a subset of residuals. edfreg calculates the bias and variance of the covariance estimate in the case of iid normal errors and uses these to adjust the standard error and degrees of freedom for each estimated coefficient, which has been found to improve the accuracy of statistical inference for both iid normal and non-iid non-normal errors.

Language: Stata
Requires: Stata version 13.1
Keywords: robust standard errors; clustered standard errors; bias corrections (search for similar items in EconPapers)
Date: 2021-12-30
Note: This module should be installed from within Stata by typing "ssc install edfreg". 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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http://fmwww.bc.edu/repec/bocode/e/edfreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/e/edfreg.ado program code (text/plain)

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