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Re: st: RE: Statistical tests under heteroskedasticity


From   Lukas Borkowski <LukasBork@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Statistical tests under heteroskedasticity
Date   Mon, 14 May 2012 12:57:11 +0200

Thanks for your reply. Just to get it clear: Does it mean that when I run a model using the -robust- option,  -testparm- will use the same heteroskedastic-consistent standard errors as in the regression? 



Am 14.05.2012 um 12:46 schrieb Nick Cox:

> -ttest- has an option -unequal- which is clearly documented, but how it might relate to your regression results is not clear. 
> 
> -testparm- follows some model; if you decide the model was wrong, then you need to run a different model first. 
> 
> Nick 
> n.j.cox@durham.ac.uk 
> 
> Lukas Borkowski
> 
> I use Stata 11.2 and I want to run several statistical tests to analyse my regression results. In my regression, I use the -robust- option but now I became aware, that heteroskedasticity invalidates my statistical tests such as hypothesis tests as well. 
> 
> Is there a way to run the -ttest- and -testparm- commands under heteroskedasticity without invalidating their results?
> 
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