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Martin
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Von: [email protected]
[mailto:[email protected]] Im Auftrag von Anders Dahl
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Gesendet: Freitag, 19. Juni 2009 15:24
An: [email protected]
Betreff: st: Robust standard errors and t-values with xtfevd
Im trying to use the robust option with xtfevd, but the problem for me is
that it seems that the t-values are
sensitive to the scale of my dependent variable. The results without the
robust option seems fine. But when i
add the robust option, all the standard errors go trough the roof, (from
maybe .3 to 50000). But here's the thing, if
a divide my dependent variable by for example 1000, my standard errors goes
down (naturally) but at the same time my t-values increases.
To me it almost seems like you can get whatever t-values you want by just
rescaling the left-hand side. As mentioned i dont have this problem
without the robust option.
Have anybody else had this problem? And what can i do to fix it`?
Anders
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