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Re: st: Bootstrap/Robust Standard Errors


From   Tinna <statalist@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Bootstrap/Robust Standard Errors
Date   Tue, 3 Jan 2006 11:52:03 -0500

Thanks Bob
Tinna

On 1/3/06, Robert A Yaffee <bob.yaffee@nyu.edu> wrote:
> 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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