Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


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

RE: st: robust covariance conditional Xs (say, for a population) : how to add


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: robust covariance conditional Xs (say, for a population) : how to add
Date   Fri, 28 Oct 2011 17:36:13 -0400

Generally, one has to wonder how useful it is to have robust standard errors for biased estimates (due to misspecification):
Freedman, D.A. (2006). On the So-Called "Huber Sandwich Estimator" and "Robust Standard Errors". The American Statistician, 60(4), 299-302. 
Cam
> From: sandorl@gmail.com
> Date: Fri, 28 Oct 2011 14:47:59 -0400
> Subject: st: robust covariance conditional Xs (say, for a population) : how to add
> To: statalist@hsphsun2.harvard.edu
> 
> Hi,
> 
> I have access to Stata 12 (for unix). I am convinced by Guido Imbens's
> arguments that in some cases I investigate a conditional version of
> the Huber-White standard errors would be more appropriate (and, yes,
> admittedly: smaller) than the normal asymptotics. What is a good way
> to use the modification for as many models as possible? Or I can only
> modify one estimator at a time, say, regress.ado? Or can I get it into
> all -vce- options across the board? It would also make sense for some
> margins and thus marginsplot…
> 
> The paper is here: http://www.nber.org/confer/2011/LSf11/summary.html
> 
> Thanks,
> 
> Laszlo
> 
> *
> *   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/
 		 	   		  
*
*   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   |   Site index