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st: R: RE: white heteroscedasticity


From   "Carlo Lazzaro" <carlo.lazzaro@tin.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: R: RE: white heteroscedasticity
Date   Sat, 29 Mar 2008 13:29:37 +0100

Dear Tolga,

following Prof. Shaffers'suggestion, I take the liberty to refer you to the
following textbooks, which I have found very useful and clear (I am a health
economist who is currently trying to increase his basic knowledge of
econometrics):

G. Koop. Introduction to econometrics. Chichester: John Wiley & Sons, 2008:
pp 121-171.

CF. Baum. An Introduction to Modern econometrics Using Stata. College
Station: StataPress, 2006: 133-160. 

Kind Regards and enjoy your W_E,

Carlo

-----Original message-----


Tolga Aksoy,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Tolga Aksoy
> Sent: 28 March 2008 22:02
> To: statalist@hsphsun2.harvard.edu
> Subject: st: white heteroscedasticity
> 
> 
> Hello, I try to get white heteroscedasticity standard errors 
> in my model. I know that "robust" command gives homoscedastic 
> standard errors. But what is the difference between them? And 
> mainly,  how can i get white heteroscedasticity standard errors?

You've got things a bit confused.  -robust- gives you the
Eicker-Huber-White-sandwich heteroskedastic-robust standard errors (as
you can see, the term has lots of variations) that you want.

As for the difference between these and the usual SEs, the Stata manuals
are a good place to start.  Lots of textbooks and reference books cover
this as well, of course.

--Mark


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