[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Thu, 17 Jul 2008 17:17:17 +0100 |

Whoops! Apologies to both Martin & Maaren. With the number of Dutch in-laws I have, this is inexcusable.... --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Martin Weiss > Sent: 17 July 2008 17:03 > To: statalist@hsphsun2.harvard.edu > Subject: RE: RE : Heteroskedasticity and fixed effects (was: > st: RE: Re: Weak instruments) > > Careful, you are addressing Maarten, not Martin... > > Martin Weiss > _________________________________________________________________ > > Diplom-Kaufmann Martin Weiss > Mohlstrasse 36 > Room 415 > 72074 Tuebingen > Germany > > Fon: 0049-7071-2978184 > > Home: http://www.wiwi.uni-tuebingen.de/cms/index.php?id=1130 > > Publications: http://www.wiwi.uni-tuebingen.de/cms/index.php?id=1131 > > SSRN: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=669945 > > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Schaffer, Mark E > Sent: Thursday, July 17, 2008 5:28 PM > To: statalist@hsphsun2.harvard.edu > Subject: RE: RE : Heteroskedasticity and fixed effects (was: > st: RE: Re: > Weak instruments) > > Martin, > > > -----Original Message----- > > From: owner-statalist@hsphsun2.harvard.edu > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten > > buis > > Sent: 17 July 2008 15:55 > > To: statalist@hsphsun2.harvard.edu > > Subject: Re: RE : Heteroskedasticity and fixed effects (was: > > st: RE: Re: Weak instruments) > > > > --- 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. > > You don't mean this literally, right? For example, if you > think a linear model is reasonable and you want to use OLS, > but you don't want to rely on more assumptions than you > really need, then using OLS + heteroskedastic-robust standard > errors (instead of OLS + classical SEs) can't hurt and - if > heteroskedasticity is actually present - could help. > This counts as "doing them some good", I think. > > Or to repeat Patrick's points 1 and 2, and to make explicit > the implicit point 3: > > 1) If the model is seriously in error, robustifiying will > not help getting better estimates of the coefficients. > Getting standard errors right is irrelevant. > > 2) If the model is nearly correct, robustifying makes > virtually no difference > > 3) If the model is mostly correct, but the assumption of > homoskedasticity is implausible, undesirable, or unsupported, > then robustifying helps. > > It's not a full prescription for how to go about modelling - > of course! - but it's still reasonable guidance, I think. > > --Mark > > > 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/ > > ----------------------------------------- > > > > > > __________________________________________________________ > > 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/ > > > > > -- > Heriot-Watt University is a Scottish charity registered under > charity number SC000278. > > > * > * 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/ > > > * > * 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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: 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>

**Re: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)***From:*"Martin Weiss" <martin.weiss@uni-tuebingen.de>

- Prev by Date:
**Re: st: probit with interaction dummies (significance and marginal effects)** - Next by Date:
**RE: st: RE: Help with data management** - Previous by thread:
**RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)** - Next by thread:
**RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |