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Re: st: A question about modelling heterogenous variances


From   Scott Cunningham <scunning@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: A question about modelling heterogenous variances
Date   Fri, 21 Oct 2005 12:20:43 -0400

On Oct 21, 2005, at 9:51 AM, Timothy.Mak@iop.kcl.ac.uk wrote:

Hi,

Consider the following problem: I want to regress age on sex, but my
dataset was collected from four sites, so I'd like to control for site. I
could do:

xi: reg age i.sex i.site

But graphical examination suggests that different sites had different
variances. What's the solution?
This probably exposes my ignorance, but why wouldn't using the robust option work here? Heteroscedascity adjustments using White's covariance consistent estimator is what I recommend, which here would just be -xi: reg age i.sex i.site, robust-. Is there some reason why that's not appropriate?
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