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


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 15:54:57 +0100 (BST)

--- Gaulé Patrick <patrick.gaule@epfl.ch> wrote:
> In both cases where is the harm in using robust standard errors and
> what's the point to test for heteroskedasticity?

The harm comes from making people feel more secure about their results
than they should be. The point made by Freedman is that it is not going
to do them any good, but only the name -robust- suggest that they are
somehow protected against all kinds of evils. 

As Rich remarked earlier, the use of looking for heteroskedasticity (I
am a big fan of looking at residuals rather than testing) is that it
can be an indication of other problems in your model.

-- Maarten


-----------------------------------------
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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