Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Re: robust estimation and singleton dummy

From   Mark Schaffer <>
Subject   Re: st: Re: robust estimation and singleton dummy
Date   Tue, 01 Jul 2003 12:45:04 +0100 (BST)

Just a quick word of thanks to Vince and also to Kit for such a thorough 
explanation and follow-up.

For what it's worth, robust SEs can also be generated using an artificial 
regression approach (see Wooldridge's u/g textbook).  When I did this, the 
SEs agree with Stata's (and hence not with RATS's).  Arguably, Stata's 
robust SEs in this case are the more standard.


Quoting Christopher F Baum <>:

> On Tuesday, July 1, 2003, at 02:33 AM, Vince wrote:
> >
> >
> > Mark Schaffer <> is estimating a model with
> an 
> > indicator
> > (dummy) variable that is 1 in only a single observation and 0 
> > everywhere else
> > and he wants an explanation for some things he notices about the
> > variance-covariance matrix,
> Thanks to Vince Wiggins for his cogent explanation of what is going
> on 
> in this case (where the VCV becomes less than full rank). He and I
> corresponded offlist about the results I had posted
> to Statalist using RATS, in which I found it strange that the robust
> standard errors did not agree, even in the case where the dummy
> (sorry, 
> indicator) is excluded. We agreed that the difference in the latter
> case (e.g. regress weight length, robust) was a degrees-of-freedom
> issue. If one scales RATS' robust covariance matrix to divide by
> (N-k) 
> rather than N, the two programs agree exactly.
> With the dummy included, they do not; but inverting RATS' covariance
> matrix leads to a (slightly different) matrix of rank 2. Since RATS
> indicates that a generalized inverse is being used, and there is
> more 
> than one way to generate a g-inverse, close in this case may be good
> enough (as it is in the case of horseshoes and hand grenades).
> Kit
> *
> *   For searches and help try:
> *
> *
> *

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008


This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed.  If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
*   For searches and help try:

© Copyright 1996–2022 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index