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Re: st: option -robust- for -glm- and -poisson-

Subject   Re: st: option -robust- for -glm- and -poisson-
Date   Wed, 31 Jan 2007 17:04:17 +0100

In Stata, -robust- means Huber/White/sandwich estimator of variance correcting the standard errors only for heteroscedasticity.
The following is a website discussing the corrections for the standard errors (it discusses corrections for panel data, nonetheless several are used for cross-sectional data as well, and I found it quite interesting for non-experienced researchers/Stata users -- Stata commands are cited, too, and discussed)

Huber, P. J. (1967), ‘The behavior of maximum likelihood estimates under nonstandard conditions’, in Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability, Vol. 1, University of California Press, Berkeley, CA, pp. 221-233.
White, H., 1984, “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test of Heteroskedasticity,” Econometrica 48, 817-838.

At 02.33 31/01/2007 -0500, Joan Holand wrote:
>I'm running a loglinear model (categorical data; Stata V.9, Windows XP)
>using the -glm- (option: fam(pois)) and the -poisson- command.
>I have a question about the option -robust-: When is it reasonable to
>use this option? I have read that it makes the confidence intervall
>narrower. Are there other reasons for / benefits of using this option?

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