Re: st: RE: Sandwich estimator, Huber-White

[Matthias Schonlau <matt@rand.org>]

you should  use the Huber White correction .

Also, why compare it to the standard errors from the replicate weights 
when you know that those are wrong?

Matt

Sayer, Bryan wrote:


> I'm not quite sure what the question is.  The Huber-White sandwich estimator
> is calculated using a Taylor series expansion.  It's actually the clustering
> and the stratification that drives the problem, not the weights.
>
> Bryan Sayer
> Statistician, SSS Inc. 
> -----Original Message-----
> From: Safir, Adam
> To: 'statalist@hsphsun2.harvard.edu'
> Sent: 9/10/02 8:39 AM
> Subject: st: Sandwich estimator, Huber-White
>
> I have a question about using svymeans and pweight in stata for complex
> survey data.  The corrected standard error reported comes close to the
> standard error reported when using replicate weights, and is usually
> somewhat smaller, although in some cases it is larger.
>
> I understand that using the Taylor Series will sometimes generate a
> corrected standard error somewhat larger than that estimated using
> replicate
> weights, and that this is because the Taylor Series cannot account for
> the
> raking, which can increase the precision of the estimate.
>
> Is there something similar happening for the corrected standard error
> when
> the Huber-White adjustment is used in the svymeans pweight procedure?
> Or
> can anyone suggest a good text or article on this issue?
>
> thanks in advance.
>
> Adam
>
>
> Adam Safir                     
> The Urban Institute
> asafir@ui.urban.org
> 202-261-5247 (voice)
> 202-293-1918 (fax)
>
>
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--
Matt Schonlau
310-393-0411 x7682
http://www.rand.org/methodology/stat/members/matt/



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