[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Chavis, Larry Wilson" <chavis_larry@gsb.stanford.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Robust Standard Errors |

Date |
Thu, 20 May 2004 16:11:16 -0700 |

Thanks Richard for pointing out that FAQ. I have not been using the cluster option. So it seems according to the FAQ that it is possible that the decrease is due to "something odd going on between the residuals and the x's" (or I could be extremely lucky and it is due to random variation!) So I should probably look at the correlation between my X's and the residuals. Maybe it is because most of my variables and fixed effect dummies have lots of 0 values. Thus when the "sandwich" is being summed the effects of some residuals are diminished. This sounds plausible to me but I'll have to work through the math. Thanks again, Larry -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu on behalf of Richard Williams Sent: Thu 5/20/2004 3:45 PM To: statalist@hsphsun2.harvard.edu Cc: Subject: Re: Robust Standard Errors At 03:22 PM 5/20/2004 -0700, Chavis, Larry Wilson wrote: >My robust standard error estimates where much less than the original >estimates. For instance the coefficient T was estimated as -.015 and the >original standard error was .0541, while the robust standard error is >.0034. This is more than a 10 fold decrease, while what I could find in >the literature suggested that robust standard errors are usually larger >than the original standard errors. Are you using a cluster option? This FAQ might or might not be relevant: http://www.stata.com/support/faqs/stat/cluster.html * * 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/

`<<winmail.dat>>`

**Follow-Ups**:**Re: st: RE: Robust Standard Errors***From:*"Mark Schaffer" <M.E.Schaffer@hw.ac.uk>

- Prev by Date:
**Re: st: RE: akim to outreg, but not exactly** - Next by Date:
**st: treatment of "$" in graphics text** - Previous by thread:
**st: RE: akim to outreg, but not exactly** - Next by thread:
**Re: st: RE: Robust Standard Errors** - Index(es):

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