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Re: st: RE: RE: Robust Standard Errors in Small Sample Sizes

From   Nick Cox <>
Subject   Re: st: RE: RE: Robust Standard Errors in Small Sample Sizes
Date   Thu, 21 Jun 2012 19:26:47 +0100

What does "in the clear" mean here? From what you say, you only get
statistically significant results if you make specific assumptions
about the error term. Sounds like a very fragile model to me. I think
even experts in your field, whatever it is, would want more context
(there is not really any context here) to comment.


On Thu, Jun 21, 2012 at 7:20 PM, Swanquist, Quinn Thomas
<> wrote:
> Sorry, yes the Breusch-Pagan test indicates heteroskedasticity. So if that's the case, am I in the clear to use robust standard errors regardless of sample size?

Popick, Stephen J.

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

Swanquist, Quinn Thomas

> 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?

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