Tuesday, January 03, 2006

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/


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