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Re: st: OLS assumptions not met: transformation, gls, or glm as solutions?


From   Maarten Buis <[email protected]>
To   [email protected]
Subject   Re: st: OLS assumptions not met: transformation, gls, or glm as solutions?
Date   Mon, 17 Dec 2012 16:27:32 +0100

On Mon, Dec 17, 2012 at 4:17 PM, Carlo Lazzaro wrote:
> The main meaning of my example is that you cannot be sure, after invoking
> -robust-, that heteroskedasticity is automatically  removed. In other words,
> homoskedasticity should be checked graphically even after - robust -.

Robust standard errors do not change the coefficients, just the
standard errors change. So the predicted values and residuals will
also remain unchanged after you have specified the -vce(robust)-
option. The whole point of robust standard errors is not that it
"solves" in some way for heteroskedasticity, it just makes that
"assumption" irrelevant. For more, see section 20.20 of the User's
Guide.

Hope this helps,
Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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