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


From   Joan Holand <Joan.Holand@gmx.net>
To   statalist@hsphsun2.harvard.edu
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


nicola.baldini2@unibo.it 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) http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm


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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