Cordula,
Date sent: Tue, 25 May 2004 15:24:31 +0100
From: Cordula Stolberg <[email protected]>
To: [email protected]
Subject: st: Robust standard errors
Send reply to: [email protected]
Dear all,
I have a really basic question (I think):
I'm working with panel data and have a regression that "collpased" into
pooled OLS. I then tested for heteroskedasticity and corrected for it
with robust standard errors, as the test (imtest, white) detected
heteroskedasticity. When I then did the test again (after having used
robust standard errors), I got exactly the same test result, i.e. there
was heteroskedasticity. Does anyone know what that means & what I can /
should do about that?
If you compare your results using and not using robust standard
errors, you'll see that the coefficients are exactly the same. All
you've done when using the robust option is to calculate standard
errors that are consistent even though you have heteroskedasticity.
Hope this helps.
--Mark
Thanks for your help,
Cordula
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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
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