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From |
Ryan Kessler <ryan.kessler.stata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 17 Dec 2012 10:41:35 -0500 |

The User's Guide is a great place to start. Maarten's point can also be illustrated via simulation: capture program drop ols_sim program define ols_sim, rclass version 12 syntax [, NONCONstant robust] set obs 300 tempvar y x gen `x'=1 in 1/100 replace `x'=2 in 101/200 replace `x'=3 in 201/300 if "`nonconstant'"!="" gen `y'=rnormal(`x',`x'^2) in 1/300 else gen `y'=rnormal(`x',1) in 1/300 reg `y' `x', `robust' return scalar beta1=_b[`x'] test `x'=1 return scalar pv=r(p) end clear local reps=1000 cii `reps' `reps'*0.05 local v_lb=round(r(lb), 0.001) local v_ub=round(r(ub), 0.001) simulate beta=r(beta1) pv=r(pv), reps(`reps'): ols_sim, nonconstant robust qui count if pv <= 0.05 local rej_rate=`=r(N)'/`reps' di "Rejection rate =`rej_rate' [`v_lb',`v_ub']" Hope this helps! Ryan On Mon, Dec 17, 2012 at 10:27 AM, Maarten Buis <maartenlbuis@gmail.com> wrote: > 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 > --------------------------------- > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: OLS assumptions not met: transformation, gls, or glm as solutions?***From:*"Laura R." <laura.roh@googlemail.com>

**References**:**st: OLS assumptions not met: transformation, gls, or glm as solutions?***From:*"Laura R." <laura.roh@googlemail.com>

**Re: st: OLS assumptions not met: transformation, gls, or glm as solutions?***From:*David Hoaglin <dchoaglin@gmail.com>

**Re: st: OLS assumptions not met: transformation, gls, or glm as solutions?***From:*"Laura R." <laura.roh@googlemail.com>

**R: st: OLS assumptions not met: transformation, gls, or glm as solutions?***From:*"Carlo Lazzaro" <carlo.lazzaro@tiscalinet.it>

**Re: st: OLS assumptions not met: transformation, gls, or glm as solutions?***From:*Maarten Buis <maartenlbuis@gmail.com>

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