Wednesday, January 04, 2006

st: calculating robust standard errors for -xtpoisson-

Dear Statalist,

Recently, I queried the list about the proper method of calculating robust standard errors in -xtpoisson- to correct for overdispersion. I think I may have found a method, which is on Colin Cameron's website (UC-Davis).

http://cameron.econ.ucdavis.edu/mmabook/mmaprograms.html

Scroll down to mma23p1pannonlin.do, and you'll find in that file the following:

bootstrap "xtpoisson PAT LOGR $xextra, fe i(id)" "_b[LOGR]", cluster (id) reps($nreps) level(95)

This clusters on id, and is a luster bootstrap. Discussion of panel robust standard errors can be found in Cameron and Trivedi's recent book, MICROECONOMETRICS: METHODS AND APPLICATIONS, setion 23.2.6, pp. 789-791. The .do file in question contains the code used to generate the various bias-corrected standard errors in table 23.1 on page 794.

Using -xtpoisson depvar indepvar, fe i(id) vce(boostrap) - did not provide me with the same standard error calculation, either, as what Cameron recommended. Does anyone know what the -vce(bootstrap)- is doing in the -xtpoisson-?

sincerely,

scott cunningham university of georgia dept. of economics (phd candidate) * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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