Programming an estimation command in Stata: Allowing for robust or cluster–robust standard errors in a poisson command using Mata
mypoisson3.ado adds options for a robust or a cluster–robust estimator of the variance–covariance of the estimator (VCE) to mypoisson2.ado, which I discussed in Programming an estimation command in Stata: Handling factor variables in a poisson command using Mata. mypoisson3.ado parses the vce() option using the techniques I discussed in Programming an estimation command in Stata: Adding robust and cluster–robust VCEs to our Mata based OLS command. Below, I show how to use optimize() to compute the robust or cluster–robust VCE.
I only discuss what is new in the code for mypoisson3.ado, assuming that you are familiar with mypoisson2.ado.
This is the twenty-second post in the series Programming an estimation command in Stata. I recommend that you start at the beginning. See Programming an estimation command in Stata: A map to posted entries for a map to all the posts in this series.
A poisson command with options for a robust or a cluster–robust VCE
mypoisson3 computes Poisson-regression results in Mata. The syntax of the mypoisson3 command is
mypoisson3 depvar indepvars [if] [in] [, vce(robust | cluster clustervar) noconstant]
where indepvars can contain factor variables or time-series variables.
In the remainder of this post, I discuss Read more…