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Re: st: Bootstrap/Robust Standard Errors


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Bootstrap/Robust Standard Errors
Date   Tue, 03 Jan 2006 10:09:52 -0500

Tinna,
  The White estimator will attempt to compensate
for the heteroskedasticity.  Depending on the
procedure, you will have different options--
the standard sandwich ( with an added n/(n-k) adjustment),
the hc2 or hc3 adjustments for leverage.
  The bootstrap provides empirical standard errors.  The
bias correction and acceleration is good if there is some
skewness in the residual distribution here. Tilting might
be better but Stata doesn't offer it yet.
  If you have autocorrelation bias in the residuals, you
might want to consider the newey procedure (Newey-West
regression). It does the White Correction plus one for
autocorrelation of the residuals for a specified number of
lags. But a bootstrap for time series data is not yet part
of the Stata package.
  Hope this helps,
      Bob Yaffee
  
  

Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: Tinna <statalist@gmail.com>
Date: Monday, January 2, 2006 3:25 pm
Subject: st: Bootstrap/Robust Standard Errors

> Dear Statalisters,
> 
> A White test has revealed heteroscedastic SEs.
> Can I use either -vce(robust)- or -vce(bootstrap)- in that incidence?
> My understanding (after an internet search) is that both correct
> biases in SEs due to heteroscedasticity in the error structure. Is one
> more appropriate then the other?
> 
> Thanks
> Tina
> 
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