Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


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

Re: st: Statistical tests under heteroskedasticity


From   "Airey, David C" <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: Statistical tests under heteroskedasticity
Date   Tue, 15 May 2012 10:09:49 -0500

.

I think it is important (for people like me) to remember to tack on to the end of this correct statement:

(1) provided the model for the expectations (means, for linear regression) is approximately correct, and
(2) provided the sample size is large enough

The vce(robust) option is not going to help a poor model, or a model missing important covariates.

If desired, Stata provides more conservative robust options (vce(hc3)) for linear regression with smaller samples.

> <>
> On May 15, 2012, at 2:33 AM, Lukas wrote:
> 
> > I use Stata 11.2 and I want to run several statistical tests to analyse my regression results. In my regression, I use the -robust- option but now I became aware, that heteroskedasticity invalidates my statistical tests such as hypothesis tests as well. 
> > 
> > Is there a way to run the -ttest- and -testparm- commands under heteroskedasticity without invalidating their results?
> 
> Calculating robust standard errors -- or more properly, a robust VCE -- 'robustifies' all computations done with that VCE, including t-tests and F-tests. So if the only departure from i.i.d. errors is heteroskedasticity, the 'robust' option makes all subsequent test, testparm, lincom, etc. valid.
> 
> Kit


*
*   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 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index