[Gretl-users] Re: It is necessary to use robust standard error in random effect estimation
On 4/10/26 22:21, Allin Cottrell wrote:
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.
In attachment, there is a gretl4py script for exact replication of
random effects example from Principles of Econometrics 4th Edition
(chapter 15.4, pages 556 and 560). As far as I remember, Hill, Griffiths
and Lim used Eviews when writing the textbook.
Cheers,
Marcin
Attachments:
- chapter_15.py (text/x-python — 935 bytes)
- nls_panel.gdt (application/gretl.data — 87.4 KB)