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Re: st: Robust standard errors


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Robust standard errors
Date   Tue, 25 May 2004 16:39:14 +0100

Cordula,

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

> 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?

If you compare your results using and not using robust standard 
errors, you'll see that the coefficients are exactly the same.  All 
you've done when using the robust option is to calculate standard 
errors that are consistent even though you have heteroskedasticity.

Hope this helps.

--Mark

> 
> Thanks for your help,
> Cordula
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert

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