Re: [Gretl-users] RE Probit --robust
On Fri, 22 Apr 2016, Jan Tille wrote:
Sven,
thank you for your prompt answer.
Meanwhile, I found the note in the user guide in chapter 18:
Robust standard errors
For most estimators, gretl offers the option of computing an estimate of the covariance
matrix
that is robust with respect to heteroskedasticity and/or autocorrelation (and hence also
robust
standard errors). In the case of panel data, robust covariance matrix estimators are
available for
the pooled and fixed effects model but not currently for random effects. Please see
section 17.4
for details.
Panel-robust inference can be obtained rather easily by using the unit id
variable as clustering variable. For example, here's a slight variation
of the "reprobit.inp" sample script:
<hansl>
open union_wooldridge.gdt
# list regressors (including time dummies)
list X = const black married educ dummify(year)
# RE probit
probit union X --random
# simple probit, but panel-robust
probit union X --cluster=nr
</hansl>
If you want robust inference and RE at the same time, I'm not aware of an
available estimator (RE uses quite strict assumption on the distribution
of disturbances and individual effets --- I don't think there is a way to
bypass those).
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------