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From |
Maarten buis <maartenbuis@yahoo.co.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments) |

Date |
Thu, 17 Jul 2008 13:22:23 +0100 (BST) |

--- Gaulé Patrick <patrick.gaule@epfl.ch> wrote: > I would not worry about testing for heteroskedasticity. In practice, > it just makes more sense to always use robust standard errors. David Freedman (2006) has exactly the opposite view. He basically distinguishes two scenarios: 1) the model is very wrong in which case robustifying the standard errors makes a difference, but it also means that all the coefficients are also wrong. So in this case you are correctly testing meaningless hypotheses. 2) The model is almost right, in which case robustifying makes virtually no difference. In other words -robust- either makes no difference or when -robust- does make a difference, the model is so much beyond repair that you'll do the wrong thing anyhow. So, all -robust- does is add a false sense of security. A final note, though you will probably already know it as it is (or should be) in any intro stats book: Do not test for heteroskedasticity before you have looked at the functional form of the effects of your predictors. -- Maarten David A. Freedman (2006) "On the So-Called `Huber-Sandwich Estimator' and `Robust Standard Errors'". The American Statistician 60(4):299--302. ----------------------------------------- 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/ ----------------------------------------- __________________________________________________________ Not happy with your email address?. Get the one you really want - millions of new email addresses available now at Yahoo! http://uk.docs.yahoo.com/ymail/new.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weakinstruments)***From:*Gaulé Patrick <patrick.gaule@epfl.ch>

**RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*Richard Williams <Richard.A.Williams.5@ND.edu>

**References**:**RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weakinstruments)***From:*Gaulé Patrick <patrick.gaule@epfl.ch>

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