Statalist The Stata Listserver

[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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

From   Joan Holand <>
Subject   Re: st: option -robust- for -glm- and -poisson-
Date   Thu, 01 Feb 2007 22:51:57 +0100

Dear colleagues,

thank you very much for your replies!

Joan writes:
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?
* *   For searches and help try: * * *

*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index