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


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/
> > -----------------------------------------
> > 
> > 
> >       __________________________________________________________
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> 
> 
> --
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> charity number SC000278.
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registered under charity number SC000278.


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