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Re: st: RE: Why not always specify robust standard errors?


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Why not always specify robust standard errors?
Date   Tue, 13 Feb 2007 18:34:28 -0500

At 06:07 PM 2/13/2007, Jeremy Miles wrote:
This web page (of mine) describes how to do it with clusters
http://www.jeremymiles.co.uk/regressionbook/2006/04/huber-white-estimates-in-spss.html

Without clusters, you need to make the cluster variable an id
variable, so each cluster has n = 1.

Jeremy
Thanks Jeremy. Like your page says, doing it in Stata is "horribly easy" especially compared to SPSS. And in fairness to SPSS, it actually has been able to compute robust standard errors for a while, and it doesn't require the add-on module you mention. But, since it takes 10 pages to print out the program that does it, I don't think this ability is a ringing endorsement of SPSS. The code can be found at

http://pages.infinit.net/rlevesqu/Syntax/RegressionRepeatedMeasure/WhiteSE_HCO_HC2andHC3.txt


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