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st: RE: General Robust Standard errors for hetroskedasticity and Serial Correlation
From
Timothy Mak <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: General Robust Standard errors for hetroskedasticity and Serial Correlation
Date
Thu, 8 Aug 2013 09:29:32 +0800
Hi Joe,
My understanding is that -robust- and -vce(robust)- are the same. They account for heteroscedasticity but not serial correlation.
Tim
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Joseph Kwan
Sent: 07 August 2013 23:42
To: [email protected]
Subject: st: General Robust Standard errors for hetroskedasticity and Serial Correlation
Hi all,
I wonder if the robust command specify robust standard errors for serial correlation and hetroskedasticity?
If I do not know what the cluster variable should be, should I use the robust command instead for general form of hetroskadasticity and serial correlation?
So my question is vce(robust) or just robust?
Which one accounts for both hetroskedasticity and Serial Correlation?
Thanks
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