Whoops! Apologies to both Martin & Maaren. With the number of Dutch in-laws I have, this is inexcusable....
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Martin Weiss
> Sent: 17 July 2008 17:03
> To: [email protected]
> Subject: RE: RE : Heteroskedasticity and fixed effects (was:
> st: RE: Re: Weak instruments)
>
> Careful, you are addressing Maarten, not Martin...
>
> Martin Weiss
> _________________________________________________________________
>
> Diplom-Kaufmann Martin Weiss
> Mohlstrasse 36
> Room 415
> 72074 Tuebingen
> Germany
>
> Fon: 0049-7071-2978184
>
> Home: http://www.wiwi.uni-tuebingen.de/cms/index.php?id=1130
>
> Publications: http://www.wiwi.uni-tuebingen.de/cms/index.php?id=1131
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> SSRN: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=669945
>
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Schaffer, Mark E
> Sent: Thursday, July 17, 2008 5:28 PM
> To: [email protected]
> Subject: RE: RE : Heteroskedasticity and fixed effects (was:
> st: RE: Re:
> Weak instruments)
>
> Martin,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of Maarten
> > buis
> > Sent: 17 July 2008 15:55
> > To: [email protected]
> > Subject: Re: RE : Heteroskedasticity and fixed effects (was:
> > st: RE: Re: Weak instruments)
> >
> > --- Gaul� Patrick <[email protected]> wrote:
> > > In both cases where is the harm in using robust standard
> errors and
> > > what's the point to test for heteroskedasticity?
> >
> > The harm comes from making people feel more secure about
> their results
> > than they should be. The point made by Freedman is that it is not
> > going to do them any good, but only the name -robust- suggest that
> > they are somehow protected against all kinds of evils.
>
> You don't mean this literally, right? For example, if you
> think a linear model is reasonable and you want to use OLS,
> but you don't want to rely on more assumptions than you
> really need, then using OLS + heteroskedastic-robust standard
> errors (instead of OLS + classical SEs) can't hurt and - if
> heteroskedasticity is actually present - could help.
> This counts as "doing them some good", I think.
>
> Or to repeat Patrick's points 1 and 2, and to make explicit
> the implicit point 3:
>
> 1) If the model is seriously in error, robustifiying will
> not help getting better estimates of the coefficients.
> Getting standard errors right is irrelevant.
>
> 2) If the model is nearly correct, robustifying makes
> virtually no difference
>
> 3) If the model is mostly correct, but the assumption of
> homoskedasticity is implausible, undesirable, or unsupported,
> then robustifying helps.
>
> It's not a full prescription for how to go about modelling -
> of course! - but it's still reasonable guidance, I think.
>
> --Mark
>
> > As Rich remarked earlier, the use of looking for
> heteroskedasticity (I
> > am a big fan of looking at residuals rather than testing)
> is that it
> > can be an indication of other problems in your model.
> >
> > -- Maarten
> >
> >
> > -----------------------------------------
> > Maarten L. Buis
> > Department of Social Research Methodology Vrije
> Universiteit Amsterdam
> > Boelelaan 1081
> > 1081 HV Amsterdam
> > The Netherlands
> >
> > visiting address:
> > Buitenveldertselaan 3 (Metropolitan), room Z434
> >
> > +31 20 5986715
> >
> > http://home.fsw.vu.nl/m.buis/
> > -----------------------------------------
> >
> >
> > __________________________________________________________
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>
>
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Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
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