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RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)

From	"Verkuilen, Jay" <[email protected]>
To	<[email protected]>
Subject	RE: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)
Date	Thu, 17 Jul 2008 16:27:49 -0400

Gaul� Patrick wrote:

>In both cases where is the harm in using robust standard errors and what's the point to test for heteroskedasticity?

In some cases (small to medium samples, generally) blindly applying sandwich estimates can cost you a really large amount of power. 

http://www.stat.tamu.edu/ftp/pub/rjcarroll/sandwich.pdf

JV

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References:
- RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weakinstruments)
  - From: Gaul� Patrick <[email protected]>
- Re: RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weak instruments)
  - From: Maarten buis <[email protected]>
- RE : Heteroskedasticity and fixed effects (was: st: RE: Re: Weakinstruments)
  - From: Gaul� Patrick <[email protected]>

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