[Gretl-users] Re: It is necessary to use robust standard error in random effect estimation
On Fri, 10 Apr 2026, Ramki S wrote:
When I run the code in the stata, the results are matching with
gretl only when I specify the robust standard errors. Why is this
case?
I don't find that to be the case. If I run the same random-effects
regression in gretl and Stata 12.1 I get the same coefficients and
standard errors without using the --robust option.
I have the data file downloaded as ramki_panel.dta and here's my gretl
script:
open ramki_panel.dta -q
setobs Id Year --panel
panel ANS const FDIENT FDICAP FDIAST FDITUR FDIGDP FDIROTC \
FDIROFA FDIROS FDIEMP FDICOM FDIWAG GDPgrowth Size --random
foreign language=stata --send-data
xtset id year
xtreg ans fdient fdicap fdiast fditur fdigdp fdirotc fdirofa fdiros fdiemp fdicom fdiwag
gdpgrowth size, re
end foreign
(On Linux at least, Stata coerces all variable names to lower-case on
CSV importation.)
Allin