areg vs xtreg with robust option

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areg vs xtreg with robust option

Alexis Guyot
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Dear statalisters,

I wonder why areg and xtreg do not give the same standard errors with the robust option with version 10 and higher.

It seems that areg uses a different degrees of freedom adjustment.

Some people think on a stata forum that it could be due to an error with the "areg" estimation in newer versions.
On the other hand, stata help for areg command says that :
"areg is designed for datasets with many groups, but not a number of groups that increases with the sample size.  See thextreg, fe command in [XT] xtreg for an estimator that handles the case in which the number of groups increases with the sample size."
Does anyone understand this?
Many thanks

Regards

Alexis



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Re: areg vs xtreg with robust option

Alexis Guyot
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Thanks Nick,

I found this topic (sorry, I didn't see it earlier) on the same matter.

http://statalist.1588530.n2.nabble.com/df-adjustment-for-robust-s-e-with-xtreg-fe-td4727512.html

The question remains open.

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Re: areg vs xtreg with robust option

sbagchi
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I found the following link helpful for understanding the issue: http://www.kellogg.northwestern.edu/faculty/matsa/htm/fe.htm