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st: RE: Robust Standard Errors in Small Sample Sizes


From   "Popick, Stephen J." <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: RE: Robust Standard Errors in Small Sample Sizes
Date   Thu, 21 Jun 2012 18:11:32 +0000

Do you have an a priori reason for suspecting heteroskedasticity, or did you perform any such tests to check that returned statistically significant results?


-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Swanquist, Quinn Thomas
Sent: Thursday, June 21, 2012 2:08 PM
To: [email protected]
Subject: st: Robust Standard Errors in Small Sample Sizes

I have a relatively small sample size (n=42) and find a statistically significant result using robust standard errors but no significance without robust standard errors. Is there a problem with using heteroskedasticity robust standard errors in small sample sizes?

Quinn Swanquist
[email protected]





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