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Re: st: reg3 option -robust-

From   John Antonakis <[email protected]>
To   [email protected]
Subject   Re: st: reg3 option -robust-
Date   Mon, 18 Oct 2010 18:01:48 +0200


You could use the -boostrap- option with reg3. Bootstrapped SEs are not that different from -robust- ones. See:

Ando, M., & Hodoshima, J. (2007). A note on bootstrapped White's test for heteroskedasticity in regression models. Economics Letters, 97(1), 46-51.

If memory serves me right, they talk about the general regression case (and not simultaneous equations), but this should make no difference to the reg3 case.



Prof. John Antonakis, Associate Dean
Faculty of Business and Economics (HEC)
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny

Tel ++41 (0)21 692-3438
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On 18.10.2010 17:50, [email protected] wrote:
reg3 option -robust-
Do you know if there is a way to estimate a structural equation model in
Stata with the option for robust standard errors?
It seems that the comand reg3 doesnt' support the option -robust-

Thanks a lot for your help,


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