In a 2012 article in the Journal of Business & Economic Statistics, Arthur Lewbel presents the theory of allowing the identification and estimation of "mismeasured and endogenous regressor models" by exploiting heteroskedasticity. These models include linear regression models customarily...

Although cluster–robust standard errors are now recognized as essential in a panel-data context, official Stata only supports clusters that are nested within panels. This rules out the possibility of defining clusters in the time dimension, and modeling contemporaneous dependence of panel...

Testing for the presence of autocorrelation in a time series is a common task for researchers working with time series data. The standard Q test statistic, introduced by Box and Pierce (1970) and refined by Ljung and Box (1978), is applicable to univariate time series and to testing for...

The avar routine (Baum and Schaffer, SSC) constructs the "filling" for a number of flavors of "sandwich" covariance matrix estimators, including HAC, one- and two-way clustering, common cross-panel autocorrelated errors, etc. We show how avar can be used as a building block to construct VCEs...

In this presentation, I update Nichols and Schaffer's 2007 UK Stata Users Group talk on clustered standard errors. Although cluster-robust standard errors are now recognized as essential in a panel-data context, official Stata only supports clusters that are nested within panels. This...

We discuss how econometric estimators may be efficiently programmed in Mata. The prevalence of matrix-based analytical derivations of estimation techniques and the computational improvements available from just-in-time compilation combine to make Mata the tool of choice for econometric...

This presentation updates Nichols and Schaffer's 2007 UKSUG talk on clustered standard errors. Although cluster-robust standard errors are now recognized as essential in a panel data context, official Stata only supports clusters that are nested within panels. This rules out the possibility of...

A brief survey of clustered errors, focusing on estimating cluster–robust standard errors: when and why to use the cluster option (nearly always in panel regressions), and implications. Additional topics may include using svyset to specify clustering, multidimensional clustering, clustering in...

We discuss how econometric estimators may be efficiently programmed in Mata. The prevalence of matrix-based analytical derivations of estimation techniques and the computational improvements available from just-in-time compilation combine to make Mata the tool of choice for econometric...