Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: robutst estimation after cnsreg


From   vwiggins@stata.com (Vince Wiggins, StataCorp)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: robutst estimation after cnsreg
Date   Fri, 18 Jul 2003 18:24:06 -0500

Euler P. G. de Mello <euler@cedeplar.ufmg.br> asks about doing a constrained
regression with robust standard errors,

> After runing a constrained regression -cnsreg- and testing its
> validity, -whitetst- indicated that a robust estimation is needed. I
> would like to know how could such estimation be done using -cnsreg-?

There is no good reason why -cnsreg- does not support robust standard errors
(SEs), it is really just a matter of history.  -cnsreg- was implemented long
before robust SEs were widely adopted in Stata and they were just not added.

Regardless, Euler can get robust standard errors from one of Stata's ML
estimators whose degenerate model is a linear regression -- say -arima- or
-intreg-.  If Euler's -cnsreg- command is,

      . cnsreg y x1 x2 x3 , constraint(...)

he can type,


      . arima y x1 x2 x3 , constraint(...) robust

or, 

      . intreg y y x1 x2 x3 , constraint(...) robust

 
-- Vince
   vwiggins@stata.com

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index