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Re: st: rreg with robust standard error


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: rreg with robust standard error
Date   Tue, 17 May 2011 08:48:35 +0100

I believe the short answer to be No.

Expanding on this in various ways:

1. The help for -rreg- reveals no such option and the code for -rreg-
reveals no such hidden option.

2. You seem to want in effect a hybrid of robust regression in which
robust means protecting against non-normal errors, including possible
outliers, and robust estimation in which robust means taking account
of cluster structure. It's important to realise that these are
different senses of "robust": although not so far as I can see
absolutely incompatible in principle, they seem rarely brought
together, even socially and not in software terms.

3. My guess is that it would be a substantial project to implement a
hybrid and that anyone interested and competent would _not_ start with
-rreg-, which is a relict from the 1980s. I think the precise theory
would have to be created first, to say nothing of working out a
software design and implementation. You may have references to the
contrary (if so, please give them).

If I've misunderstood your question, I imagine that you will need to
clarify it. In particular, I don't know why you are both (a) claiming
that something has been done and (b) unclear about whether it is
possible.

Nick

On Tue, May 17, 2011 at 6:17 AM, lreine ycenna <lreine.ycenna@gmail.com> wrote:

> I'm using the rreg command which produces standard error. However,
> I've seen robust  (rreg) regressions being run with robust standard
> error. I would like to know if it's possible to run rreg command and
> have robust standard error in the regression?

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