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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 09:46:36 +0100

More positively, I would recommend -glm- which certainly supports
non-normal families, non-identity links and cluster structure.

Nick

On Tue, May 17, 2011 at 8:48 AM, Nick Cox <njcoxstata@gmail.com> wrote:
> 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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