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Re: st: Re: robust estimation and singleton dummy


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: robust estimation and singleton dummy
Date   Tue, 01 Jul 2003 12:45:04 +0100 (BST)

Just a quick word of thanks to Vince and also to Kit for such a thorough 
explanation and follow-up.

For what it's worth, robust SEs can also be generated using an artificial 
regression approach (see Wooldridge's u/g textbook).  When I did this, the 
SEs agree with Stata's (and hence not with RATS's).  Arguably, Stata's 
robust SEs in this case are the more standard.

--Mark

Quoting Christopher F Baum <baum@bc.edu>:

> On Tuesday, July 1, 2003, at 02:33 AM, Vince wrote:
> >
> >
> > Mark Schaffer <M.E.Schaffer@hw.ac.uk> is estimating a model with
> an 
> > indicator
> > (dummy) variable that is 1 in only a single observation and 0 
> > everywhere else
> > and he wants an explanation for some things he notices about the
> > variance-covariance matrix,
> 
> Thanks to Vince Wiggins for his cogent explanation of what is going
> on 
> in this case (where the VCV becomes less than full rank). He and I
> 
> corresponded offlist about the results I had posted
> to Statalist using RATS, in which I found it strange that the robust
> 
> standard errors did not agree, even in the case where the dummy
> (sorry, 
> indicator) is excluded. We agreed that the difference in the latter
> 
> case (e.g. regress weight length, robust) was a degrees-of-freedom
> 
> issue. If one scales RATS' robust covariance matrix to divide by
> (N-k) 
> rather than N, the two programs agree exactly.
> 
> With the dummy included, they do not; but inverting RATS' covariance
> 
> matrix leads to a (slightly different) matrix of rank 2. Since RATS
> 
> indicates that a generalized inverse is being used, and there is
> more 
> than one way to generate a g-inverse, close in this case may be good
> 
> enough (as it is in the case of horseshoes and hand grenades).
> 
> Kit
> 
> *
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> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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