Re: st: A question about modelling heterogenous variances

[Scott Cunningham <scunning@gmail.com>]

> One of the great features of Stata is its robust option in many  
> estimation
> commands. Theoretically in normal linear regression, it replaces the
> variance matrix of our error (e) with an empirical one based on the
> residuals. I foresee that one solution to my problem would be to  
> create a
> variance matrix that is half way between the OLS and this empirical  
> one,
> that is one that has its residuals averaged within each group  
> (site). One
> problem with the robust option is that often if my subgroup size is  
> too
> small, it gives rubbish estimates of Standard error. I wonder if this
> could be a solution to this too. Has anyone done methodological
> investigation into this technique?
Tim, I apologize.  I responded, but this paragraph was cut off  
becuase of how my mail server deliivers the mail to me.  I didn't see  
you'd already considerd -robust-.

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