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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 22:38:43 +0100 |

Jay, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Verkuilen, Jay > Sent: 17 July 2008 21:33 > To: statalist@hsphsun2.harvard.edu > Subject: RE: RE : Heteroskedasticity and fixed effects (was: > st: RE: Re: Weak instruments) > > Schaffer, Mark E wrote: > > >The general motivation behind the advice seems reasonable - > why assume > something that you don't have to assume, if making the > >assumption is potentially costly and relaxing the assumption > is nearly costless? Of course, this doesn't excuse us from > the >responsibility of giving our model "a good long look", > but we should do that anyway. > > This assumes that the solution -is- costless. It may well not > be. As the Carroll et al paper I sent a link to in an earlier > email notes > (http://www.stat.tamu.edu/ftp/pub/rjcarroll/sandwich.pdf), > most of the discussion of robust VCE is in asymptotic terms. > With small to medium samples and different models your > mileage may most definitely vary. Quite true - that wass one of the reasons for the "if". I should have said "IF". Another reason is that giving up on modelling the heteroskedasticity may be giving up too early. If FGLS really is feasible, then just using robust standard errors is not costless - you're paying a price in terms of the efficiency gains possible with FGLS. (Which is why I don't entirely agree with the Stock & Watson quote that Patrick posted.) > I generally think robust VCE is a good thing to have, mind > you, but something that should not be blindly applied to > cover up a crappy, misspecified model. Indeed! --Mark > > > * > * 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:*Gaulé Patrick <patrick.gaule@epfl.ch>

**References**:**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:*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:*"Verkuilen, Jay" <JVerkuilen@gc.cuny.edu>

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