Robust inference for linear models

Reliable standard errors are crucial to drawing appropriate inferences in research. Stata 18 offers new ways to obtain standard errors and confidence intervals for linear models fit with regress, areg, and xtreg, fe. The new methods aim to provide beter inference when large-sample approximations do not work well. Perhaps you have clustered data with only a few clusters or with an uneven number of observations per cluster. You can now add the vce(hc2 clustvar) option to obtain HC2 cluster–robust standard errors. Perhaps you have more than one variable that identifies clusters in your data. You can now add the vce(cluster clustvar1 clustvar2 …) option to obtain multiway cluster standard errors. 

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