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Re: st: Bootstrap/Robust Standard Errors
On 1/3/06, Robert A Yaffee <email@example.com> wrote:
> 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
> Phone: 201-242-3824
> Fax: 201-242-3825
> ----- Original Message -----
> From: Tinna <firstname.lastname@example.org>
> 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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