--- Steven Samuels <[email protected]> wrote:
> 1. The reviewer's original opinion is not correct. If your target
> parameter is the mean score, then OLS may give a consistent estimate,
> even if the data are skew and non-normal. The proviso is that you
> have a good prediction model for the mean. However with OLS,
> standard errors will be incorrect. The fix is easy: -reg- with a -
> robust- option will give standard errors that are model-free.
The one proviso here is that -robust- typically requires more data than
the standard standard errors, as the asymptotics typically starts to
kick in later. This should not come as a surprise, with standard
standard errors you use information from your assumption about the
distribution, while with -robust- you explicitly exclude that
information and thus you require more information from another source,
which can only mean more data.
-- 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 N515
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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