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Re: st: Robust standard errors


From   Cordula Stolberg <cs32@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Robust standard errors
Date   Tue, 25 May 2004 18:25:56 +0100

Mark,

Thank you very much for that.

Cordula

--On 25 May 2004 16:39 +0100 Mark Schaffer <M.E.Schaffer@hw.ac.uk> wrote:

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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