Tuesday, January 03, 2006

Re: st: Bootstrap/Robust Standard Errors

Tinna, You're quite welcome. - Bob

Robert A. Yaffee, Ph.D. Research Professor Shirley M. Ehrenkranz School of Social Work New York University

home address: Apt 19-W 2100 Linwood Ave. Fort Lee, NJ 07024-3171 Phone: 201-242-3824 Fax: 201-242-3825 yaffee@nyu.edu

----- Original Message ----- From: Tinna <statalist@gmail.com> Date: Tuesday, January 3, 2006 11:52 am Subject: Re: st: Bootstrap/Robust Standard Errors

> Thanks Bob > Tinna > > On 1/3/06, Robert A Yaffee <bob.yaffee@nyu.edu> wrote: > > Tinna, > > The White estimator will attempt to compensate > > for the heteroskedasticity. Depending on the > > procedure, you will have different options-- > > the standard sandwich ( with an added n/(n-k) adjustment), > > the hc2 or hc3 adjustments for leverage. > > The bootstrap provides empirical standard errors. The > > bias correction and acceleration is good if there is some > > skewness in the residual distribution here. Tilting might > > be better but Stata doesn't offer it yet. > > If you have autocorrelation bias in the residuals, you > > might want to consider the newey procedure (Newey-West > > regression). It does the White Correction plus one for > > autocorrelation of the residuals for a specified number of > > lags. But a bootstrap for time series data is not yet part > > of the Stata package. > > Hope this helps, > > Bob Yaffee > > > > > > > > Robert A. Yaffee, Ph.D. > > Research Professor > > Shirley M. Ehrenkranz > > School of Social Work > > New York University > > > > home address: > > Apt 19-W > > 2100 Linwood Ave. > > Fort Lee, NJ > > 07024-3171 > > Phone: 201-242-3824 > > Fax: 201-242-3825 > > yaffee@nyu.edu > > > > ----- Original Message ----- > > From: Tinna <statalist@gmail.com> > > Date: Monday, January 2, 2006 3:25 pm > > Subject: st: Bootstrap/Robust Standard Errors > > > > > Dear Statalisters, > > > > > > A White test has revealed heteroscedastic SEs. > > > Can I use either -vce(robust)- or -vce(bootstrap)- in that > incidence?> > My understanding (after an internet search) is that > both correct > > > biases in SEs due to heteroscedasticity in the error structure. > Is one > > > more appropriate then the other? > > > > > > Thanks > > > Tina > > > > > > * > > > * For searches and help try: > > > * http://www.stata.com/support/faqs/res/findit.html > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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