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

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 14:38:37 -0500

Tinna,
 You're quite welcome.
 - Bob

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: Tuesday, January 3, 2006 11:52 am
Subject: Re: st: Bootstrap/Robust Standard Errors

> 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
> > >
> > > *
> > > *   For searches and help try:
> > > *   http://www.stata.com/support/faqs/res/findit.html
> > > *   http://www.stata.com/support/statalist/faq
> > > *   http://www.ats.ucla.edu/stat/stata/
> > >
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/support/faqs/res/findit.html
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
> >
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2021 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index