Stata module providing pairwise-differences and first-differences robust regression estimators
xtrobreg provides robust pairwise-differences estimators and robust
first-differences estimators for panel data. In case of least-squares
regression, the pairwise-differences estimator is equivalent to the
fixed-effects estimator.
xtrobreg works by applying robreg to appropriately transformed
data (restoring the original data after estimation). Alternatively,
use xtrobreg convert to transform the data permanently and then apply
robreg manually.
Requires: Stata 11 or newer, packages robreg and moremata
To install xtrobreg from the SSC Archive, type
. ssc install xtrobreg, replace
. ssc install robreg, replace
. ssc install moremata, replace
in Stata.
Installation from GitHub:
. net install xtrobreg, replace from(https://raw.githubusercontent.com/benjann/xtrobreg/main/)
. net install robreg, replace from(https://raw.githubusercontent.com/benjann/robreg/main/)
. net install moremata, replace from(https://raw.githubusercontent.com/benjann/moremata/master/)
Main changes:
29aug2021 (version 1.0.5):
- options t0() and t1() added to -xtrobreg convert-
- now using stable sort order when transforming data
22apr2021 (version 1.0.4):
- -xtrobreg convert- now additionally supports iweights
- -xtrobreg convert- now always stores a weights variable, even if all weights
are equal to 1
21apr2021 (version 1.0.3)
- factor variables are now allowed (although not with -xtrobreg convert-)
- handling of cluster() option improved; cluster() now also allowed with
-xtrobreg convert- (undocumented)
- weights and variables from keep() no longer required to be constant if option
-fd- is specified
- option -fd- now always requires a time variable to be set
20apr2021 (version 1.0.2)
- option -fd(strict)- removed
19apr2021 (version 1.0.1):
- option -fd(strict)- added
17apr2021 (version 1.0.0):
- xtrobreg released on GitHub