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


From   William Buchanan <william@williambuchanan.net>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: RE: RE: Robust Standard Errors in Small Sample Sizes
Date   Thu, 21 Jun 2012 11:29:03 -0700

Hi Quinn,

In addition to showing exactly what command you used, looking at the reference for the -vce()- option in the reference manuals will give you clearer guidance regarding which standard errors are more appropriate to use in smaller samples.

HTH,
Billy

Sent from my iPhone

On Jun 21, 2012, at 11:20, "Swanquist, Quinn Thomas" <qswanqui@utk.edu> 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?
> 
> Quinn Swanquist
> qswanqui@utk.edu
> 
> 
> 
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Popick, Stephen J.
> Sent: Thursday, June 21, 2012 2:12 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: Robust Standard Errors in Small Sample Sizes
> 
> 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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Swanquist, Quinn Thomas
> Sent: Thursday, June 21, 2012 2:08 PM
> To: statalist@hsphsun2.harvard.edu
> 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
> qswanqui@utk.edu
> 
> 
> 
> 
> 
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