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st: Robust standard errors


From   Cordula Stolberg <cs32@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Robust standard errors
Date   Tue, 25 May 2004 15:24:31 +0100

Dear all,

I have a really basic question (I think):
I'm working with panel data and have a regression that "collpased" into pooled OLS. I then tested for heteroskedasticity and corrected for it with robust standard errors, as the test (imtest, white) detected heteroskedasticity. When I then did the test again (after having used robust standard errors), I got exactly the same test result, i.e. there was heteroskedasticity. Does anyone know what that means & what I can / should do about that?

Thanks for your help,
Cordula
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