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st: robust standard errors, sureg, & suest


From   Woolton Lee <finished07@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: robust standard errors, sureg, & suest
Date   Thu, 27 Aug 2009 10:02:40 -0400

I am planning to estimate a multi equation model using multiply
imputed data (5 imputations).  I plan to use sureg and mim then use
suest to recover robust standard errors for the parameter estimates.
I am assuming this will work from what I've read in the help file but
I am not certain if there are problems to implementing this plan that
I haven't anticipated.  Could someone please confirm that as far as
implementing my idea, it will work?  Thanks.

I believe one problem with what I've planned is that combining
multiply imputed estimates using sureg may not be guaranteed to yield
statistically valid results - there may not have been any simulation
studies to verify that this approach to estimation will be unbiased
and consistent, etc.  If there is anyone that can comment on this as
well please do.

Thank you very much for your help,

Woolton
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