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st: robust regression with robust errors


From   Diemo Urbig <urbig@econ.mpg.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: robust regression with robust errors
Date   Mon, 17 Nov 2008 12:03:53 +0100

Dear stata experts:

knowing that "rreg" can be used to deal with violations of  
distributional assumptions and "reg ,r" for dealing with 
heteroscedasticity, I ask myself whether and to what extent there is a 
way to deal with both at the same time. Given that "reg", "reg , r", and 
"rreg" all yield different results regarding a model and distributional 
assumptions and heteroscedasticity seem to play a role, is there a way 
to combine rreg with robust errors?

Best regards,
Diemo

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