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A robust regression estimator for pairwise-difference transformed data: xtrobreg

Author

Listed:
  • Vincenzo Verardi

    (Université Libre de Bruxelles)

  • Ben Jann

    (University of Bern)

Abstract
Pairwise comparison-based estimators are commonly used in statistics. In the context of panel data fixed-effects estimations, Aquaro and Cizek (2013) have shown that a pairwise-differences based estimator is equivalent to the well-known within estimator. Relying on this result, they propose to "robustify" the F.E. estimator by applying a robust regression estimator to pairwise-difference transformed data. In collaboration with Ben Jann, we made available the xtrobreg command that implements this estimator in Stata for both balanced and unbalanced panels. As will be shown in the presentation, the flexibility of the xtrobreg command allows it to be used well beyond the context of panel robust regressions.

Suggested Citation

  • Vincenzo Verardi & Ben Jann, 2021. "A robust regression estimator for pairwise-difference transformed data: xtrobreg," London Stata Conference 2021 17, Stata Users Group.
    • Handle: RePEc:boc:usug21:17
    as

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    File URL: http://fmwww.bc.edu/repec/usug2021/usug21_verardi.pdf
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    References listed on IDEAS

    as
    1. Andrews,Donald W. K. & Stock,James H. (ed.), 2005. "Identification and Inference for Econometric Models," Cambridge Books, Cambridge University Press, number 9780521844413, October.
    2. Aquaro, M. & Čížek, P., 2013. "One-step robust estimation of fixed-effects panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 536-548.
    3. Giovanni S.F. Bruno, 2005. "Monte Carlo analysis for dynamic panel data models," United Kingdom Stata Users' Group Meetings 2005 06, Stata Users Group.
    4. Florian Chavez Juarez, 2014. "KERNEL: Stata module to compute various kernels," Statistical Software Components S457869, Boston College Department of Economics.
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