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Re: st: Regression Diagnostics for Models with cluster-robust standard errors


From   Nick Cox <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: Regression Diagnostics for Models with cluster-robust standard errors
Date   Sat, 26 Jan 2013 14:30:29 +0000

You have got (more) honest standard errors. They say nothing directly about precisely how the model might need improvement. It's now 50 years and more since plotting residuals versus fitted was suggested as a basic follow-up to regression. Also, whether the functional form is about right is more crucial than assumptions about error terms.

Nick

On 26 Jan 2013, at 13:17, Barbara Engels <[email protected]> wrote:

Dear Statalist people,

I'm sorry if this is obvious, but to me, it is not:

I estimated an OLS regression with cluster-robust standard errors and want to perform common regression diagnostics now, i.e. check for linearity, outliers, normallity, autocorrelation, homoskedasticity, multicollinearity, model specification (ramsey) .... Does it make sense to check for homoskedasticity, normality and autocorrelation at all or is it just sufficient that I accounted for it with the cluster-robust s.e.?

Thank you very much for your time.

Best, Barbara


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