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Re: st: reg3 option -robust-


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: reg3 option -robust-
Date   Mon, 18 Oct 2010 18:01:48 +0200

Hi:

You could use the -boostrap- option with reg3. Bootstrapped SEs are not that different from -robust- ones. See:

Ando, M., & Hodoshima, J. (2007). A note on bootstrapped White's test for heteroskedasticity in regression models. Economics Letters, 97(1), 46-51.

If memory serves me right, they talk about the general regression case (and not simultaneous equations), but this should make no difference to the reg3 case.

HTH,
John.

__________________________________________

Prof. John Antonakis, Associate Dean
Faculty of Business and Economics (HEC)
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland

Tel ++41 (0)21 692-3438
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Home page:
http://www.hec.unil.ch/people/jantonakis
__________________________________________


On 18.10.2010 17:50, fabiana.visentin@usi.ch wrote:
reg3 option -robust-
Do you know if there is a way to estimate a structural equation model in
Stata with the option for robust standard errors?
It seems that the comand reg3 doesnt' support the option -robust-



Thanks a lot for your help,

Fabiana



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