Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Cluster-correlated robust variance estimator for M regression


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Cluster-correlated robust variance estimator for M regression
Date   Tue, 13 Oct 2009 13:26:01 -0500

On Tue, Oct 13, 2009 at 1:05 PM, James Shaw <shawjw@gmail.com> wrote:
> Thanks for the prompt response.  I suspected that the estimated
> weights might factor into generating the scores, though I was not sure
> how to implement them.  So, should I interpret the "scale" in your
> code to be the derivative of the objective function with respect to
> the parameters of interest?

I've been thinking aloud looking at -rreg.ado- code. You would need to
go over it line by line, figure out what each variable and scalar
means, and map them into the definition of the "score".

> I generally agree with your concerns about the jackknife, though it
> seems to yield estimates that are similar to those provided by the
> bootstrap in this case.  I am not a huge fan of M estimation.  The
> only benefit it provides over quantile regression is efficiency, and
> the resulting estimates lack the interpretability of quantile
> regression estimates.  I am in need of a robust estimator for
> longitudinal data that will not entail resampling for variance
> estimation since I am resampling at another stage in my code.
> Unfortunately, my options are limited.

I see. Well as I said, to get the scores and analytic standard errors,
you'd need to hack the -rreg.ado- code, which is not that difficult.
(Everybody does something like that from time to time, believe me :)).
Just as with every hacking exercise, copy the official file into
myrreg.ado and work with myrreg.ado.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index