Larry,
Subject: st: RE: Robust Standard Errors
Date sent: Thu, 20 May 2004 16:11:16 -0700
From: "Chavis, Larry Wilson" <[email protected]>
To: <[email protected]>
Send reply to: [email protected]
> Thanks Richard for pointing out that FAQ. I have not been using the
> cluster option. So it seems according to the FAQ that it is possible
> that the decrease is due to "something odd going on between the
> residuals and the x's" (or I could be extremely lucky and it is due to
> random variation!) So I should probably look at the correlation
> between my X's and the residuals. Maybe it is because most of my
> variables and fixed effect dummies have lots of 0 values.
Do you have fixed effects dummies in which you have a single 1 and
the rest 0s ("singleton dummies")? About a year ago Vince Wiggins
wrote a very useful note about the effect of these on robust var-cov
estimates:
http://www.stata.com/statalist/archive/2003-06/msg00646.html
in which he concluded that the reported standard errors are still
useable even though the var-cov matrix isn't of full rank. Might be
totally unrelated to your problem, but you never know.
--Mark
> Thus when
> the "sandwich" is being summed the effects of some residuals are
> diminished. This sounds plausible to me but I'll have to work through
> the math.
>
> Thanks again,
> Larry
>
> -----Original Message-----
> From: [email protected] on behalf of Richard
> Williams Sent: Thu 5/20/2004 3:45 PM To:
> [email protected] Cc: Subject: Re: Robust Standard Errors
>
>
>
> At 03:22 PM 5/20/2004 -0700, Chavis, Larry Wilson wrote:
> >My robust standard error estimates where much less than the original
> >estimates. For instance the coefficient T was estimated as -.015
> and the >original standard error was .0541, while the robust standard
> error is >.0034. This is more than a 10 fold decrease, while what I
> could find in >the literature suggested that robust standard errors
> are usually larger >than the original standard errors.
>
> Are you using a cluster option? This FAQ might or might not be
> relevant:
>
> http://www.stata.com/support/faqs/stat/cluster.html
>
>
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>
>
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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