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RE: st: Censored panel data models with heteroskedasticity

From   Ren� Wevers <[email protected]>
To   <[email protected]>
Subject   RE: st: Censored panel data models with heteroskedasticity
Date   Thu, 24 Jan 2008 14:01:42 +0100

Maarten, thanks for your comments.

About the -robust- (standard errors) option I was aware that this only
affects the standard errors and that estimators can still be biased.
Since for my research I am mainly interested in the direction and
significance of any (statistical) relations and not so much the magnitude,
such an option does provide me with a reasonable improvement of the results
But like I said, ideally there would be an (I)CLAD routine for panel data in
Stata to provide true robustness.

With the (lack of) options available it seems more logical to continue with
applying a (bootstrapped) -xttobit- and additionally discuss uncertainties
of the results based on the level of heteroskedasticity (and nonnormality).
Or is there any real added value in estimating the tobit model through
-GLLAMM- ????

By the way, the heteroskedasticity is (hopefully) not so much the result of
a wrong/misspecified model, but more a result of the nature and
imperfections of the data . 


-----Oorspronkelijk bericht-----
Van: [email protected]
[mailto:[email protected]] Namens Maarten buis
Verzonden: Thursday, January 24, 2008 1:09 PM
Aan: [email protected]
Onderwerp: Re: st: Censored panel data models with heteroskedasticity

--- Maarten Buis wrote:
> The name of the -robust- option sometimes leads to too much
> confidence in the results, even though the limitations are well
> documented in the User's guide: [U] 20.15. 

For a nice rant against -robust- see :

David A. Freedman (2006) "On the So-Called `Huber Sandwich Estimator'
and `Robust Standard Errors'", The American Statistician, 60(4), 
pp. 299-303. 

-- Maarten

Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

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