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st: Robust Regression


From   Robert Davidson <[email protected]>
To   [email protected]
Subject   st: Robust Regression
Date   Thu, 6 Mar 2014 10:54:04 -0500

Hello Statalist,

I am trying to estimate a model in Stata 13 in which the data appears
to be heavily influenced by outliers.  I have reviewed graphs,
calculated the leverage of the variables, and reviewed the data for
accuracy and everything points to the influence of outliers.  I have
looked into robust estimators including mmregress (Vervardi and Croux)
and rreg to deal with this and both report similar results.  The data
is a panel though, with the same firm (my unit of observation)
appearing in multiple years and thus the standard errors are not
i.i.d.  Does Stata have a robust estimator to deal with outliers that
can also allow standard errors to be clustered at the unit (firm)
level?

Thank you,
Robert Davidson
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