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Re: st: using robust standard errors in sqreg


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: using robust standard errors in sqreg
Date   Tue, 8 Jul 2008 19:14:16 +0100 (BST)

--- Sachin Chintawar <schint1@lsu.edu> wrote:
> I have a question regarding the sqreg procedure.- since 'robust' is
> not allowed in the sqreg command is there any other way we could
> estimate robust standard errors. I would greatly appreciate your help
> in this regard

-sqreg- uses the bootstrap to compute the variance covariance matrix
and is thus already robust in a similar way as is implied in the 
-robust- option. What robust in the -robust- option actually means is
quite subtle, and you can read more about it in section 20.15 in the
User's Guide. For a critical review of this idea see (Freeman 2006).
For the bootstrap I like (Efron and Tibshirani 1993).

Hope this helps,
Maarten

Efron, B and R.J. Tibshirani (1993), An Introduction to the Bootstrap,
Chapman & Hall/CRC.

Freeman, D.A. On the So-Called "Huber Sandwich Estimator" and "Robust
Standard Errors", The American Statistician, 60(4): 299--303.

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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