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Command Option _SE estimates are robust to diss Notes
turbances that are
reg, xtreg vce(robust) heteroskedastic
reg, xtreg cluster() _heteroskedastic and autocorre-
lated
xtregar autocorrelated with AR(1)*
newey heteroskedastic and autocorre-
lated of type MA(q)”
xtgls panels(), —_heteroskedastic, contemporane- N < T required for fea~
corr() ously cross-sectionally correlat- sibility; tends to produce
ed, and autocorrelated of type — optimistic SE estimates
AR(1)
xtpese correla~ _heteroskedastic, contemporane- large-scale panel regres-
tion) ously cross-sectionally correlat- sions with xtpese take a
ed, and autocorrelated of type lot of time
AR(1)
xtscc heteroskedastic, autocorrelated
with MA(g), and cross-sectio-
nally dependent
AR(I) refers to first-order autoregression,
®MA(q) denotes autocorrelation of the moving average type with lag length q
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