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Re: st: Constructing a variable from standard deviations


From   "M.P.J. van Zaal" <Matthias.vanZaal@student.uva.nl>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Constructing a variable from standard deviations
Date   Tue, 23 Nov 2010 10:41:07 +0100

Hi mr Buis,

Thank you for all your time and good advice.

In the end I went with the solution proposed by Kit and it worked 
fine! Ofcourse I will give arguments in my paper why I used this 
method. 
I think the point you raised about assuming homoscedasticity and then 
use the property of non constant variance in the next step 
being "awkward" is valid. Thanks for this.

I know now that that my phrasing in my email you quoting was not 
accurate. Next I will be more careful :-).

regards and thanks again,

Mathijs



----- Original Message -----
From: Maarten buis <maartenbuis@yahoo.co.uk>
Date: Tuesday, November 23, 2010 10:26 am
Subject: Re: st: Constructing a variable from standard deviations
To: statalist@hsphsun2.harvard.edu

> --- On Mon, 22/11/10, M.P.J. van Zaal wrote:
> > However, you guys claim that the estimates from this
> > procedure would be meaningless.
> 
> We did not say that. This is the solution proposed by Stas
> and I said about it: "Stas' solution works, but is 
> substantively awkward". That is not the same as meaningless.
> It means that you can use it, but than you'll have to show
> in your paper why a model that assumes constant residual 
> variance still gives you unbiased estimates of differences
> in residual variance across groups. The simulation I gave
> earlier shows that that is the case. If you still want to
> use Stas' solution you need address this counterintuitive 
> step in your analysis. I would start by defining exactly 
> what that residual variance is, and go over the exact 
> definition of the residuals and their variance in linear 
> regression, see what happens with those residuals in case
> of heteroskedsticity, and than try that with the variances
> that you want to estimate. Looking for proofs like that is
> a sequential process, so there is no guarantee that such 
> an initial plan works, but this is how I would start.
> (Actually I would want to avoid this, and use either my
> or Kit's solution, but that does not mean that Stas' 
> solution is meaningless).
> 
> Hope this helps,
> Maarten
> 
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
> 
> http://www.maartenbuis.nl
> --------------------------
> 
> 
> 
> 
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