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st: Why not always specify robust standard errors?


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Why not always specify robust standard errors?
Date   Tue, 13 Feb 2007 11:22:47 -0500

A student asked me a question the other day that I couldn't think of a definitive answer for: Why not always specify -robust- when using OLS regression? My initial reaction is to say that you shouldn't relax restrictions unnecessarily; and there are various post-estimation commands where Stata will at least whine at you if you've used robust standard errors (e.g. -lrtest-). But in practice, your model is probably at least a little mis-specified and/or there may be some degree of heteroskedasticity, so maybe robust is a good idea. Any thoughts on the matter?

Incidentally, my own experience is that robust standard errors usually aren't all that different from non-robust standard errors. Is that what other people have found as well, or is just me?



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Richard Williams, Notre Dame Dept of Sociology
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