Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Strange -robust- results with a dummy variable

 From "Liu Yu" <[email protected]> To <[email protected]> Subject st: Strange -robust- results with a dummy variable Date Fri, 21 Jan 2011 16:34:24 -0700

```Dear Statalist.

I have got a weird result when I run the following two regressions. (In the
following regressions, y is a daily stock return data from 1990 to 2010, x
is the daily market return data for the same period, and d is a dummy
variable which equals 1 on Nov-10-2001 and 0 otherwise.)

The first is a simple OLS regression:

. reg y x d

----------------------------------------------------------------------------
--
y |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
x |   .0237359     .03177     0.75   0.455    -.0385487
.0860204
d |  -.0074946    .025867    -0.29   0.772    -.0582064
.0432172
_cons |   .0007387   .0003825     1.93   0.054    -.0000112
.0014886

The second equals the first regression plus the "robust" option:

. reg y x d, robust

----------------------------------------------------------------------------
--
|               Robust
y |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
x |   .0237359   .0304741     0.78   0.436    -.0360082
.0834799
d |  -.0074946    .000539   -13.90   0.000    -.0085514
-.0064378
_cons |   .0007387   .0003834     1.93   0.054    -.0000131
.0014904
----------------------------------------------------------------------------
--

I am quite surprised by the fact that the standard error of d has decreased
significantly after I use the robust option, and its t-statistics changes
from non-significant to significant. Should I trust the results from the
second regression? Is there something special that I need to pay attention
about the dummy variable and the robust option?

Thank you all.

Catherine Liu

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/
```

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index