Re: st: option -robust- for -glm- and -poisson-

[Joan Holand <Joan.Holand@gmx.net>]

Dear colleagues,

thank you very much for your replies!

Joan


nicola.baldini2@unibo.it writes:
> In Stata, -robust- means Huber/White/sandwich estimator of variance
> correcting the standard errors only for heteroscedasticity. The
> following is a website discussing the corrections for the standard
> errors (it discusses corrections for panel data, nonetheless several
> are used for cross-sectional data as well, and I found it quite
> interesting for non-experienced researchers/Stata users -- Stata
> commands are cited, too, and discussed) 
> http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm
>
>
> Huber, P. J. (1967), ‘The behavior of maximum likelihood estimates
> under nonstandard conditions’, in Proceedings of the Fifth Berkeley
> Symposium on Mathematical Statistics and Probability, Vol. 1,
> University of California Press, Berkeley, CA, pp. 221-233. White, H.,
> 1984, “A Heteroskedasticity-Consistent Covariance Matrix Estimator
> and a Direct Test of Heteroskedasticity,” Econometrica 48, 817-838.
>
> At 02.33 31/01/2007 -0500, Joan Holand wrote:
>
> > I'm running a loglinear model (categorical data; Stata V.9, Windows
> > XP) using the -glm- (option: fam(pois)) and the -poisson- command.
> >
> > I have a question about the option -robust-: When is it reasonable
> > to use this option? I have read that it makes the confidence
> > intervall narrower. Are there other reasons for / benefits of using
> > this option?
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